A two-factor jump-diffusion model for pricing convertible bonds with default risk
Radha Krishn Coonjobeharry, Désiré Yannick Tangman and Muddun Bhuruth
| Year of publication: |
September 2016
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|---|---|
| Authors: | Coonjobeharry, Radha Krishn ; Tangman, Désiré Yannick ; Bhuruth, Muddun |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 6, p. 1-26
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| Subject: | Convertible bonds | jump-diffusion models | Chebyshev spectral method | Clenshaw-Curtis quadrature | linear complementarity problem | operator-splitting method | Wandelanleihe | Convertible bond | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500461 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011572351