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Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme.
Sha Lin
Song-Ping Zhu
Published in:
Comput. Math. Appl. (2020)
Keyphrases
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convertible bonds
financial crisis
stochastic model
fuzzy sets
non stationary
stock market
stock price
state dependent