An analytic formula for pricing American-style convertible bonds in a regime switching model
Leunglung Chan (School of Mathematics and Statistics, University of New South Wales, Sydney, Australia) and Song-Ping Zhu (School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia)
| Year of publication: |
October 2015
|
|---|---|
| Authors: | Chan, Leunglung ; Zhu, Song-Ping |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 26.2015, 4, p. 402-428
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| Subject: | convertible bonds | Markov-modulated geometric Brownian motion | regime switching | homotopy analysis method | Wandelanleihe | Convertible bond | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Finanzanalyse | Financial analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpu005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011515674