A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk
Ling Lu and Wei Xu
| Year of publication: |
2017
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|---|---|
| Authors: | Lu, Ling ; Xu, Wei |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 25.2017, 1, p. 37-54
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| Subject: | Wandelanleihe | Convertible bond | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011931521