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Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme.

Sha LinSong-Ping Zhu
Published in: Comput. Math. Appl. (2020)
Keyphrases
  • convertible bonds
  • financial crisis
  • stochastic model
  • fuzzy sets
  • non stationary
  • stock market
  • stock price
  • state dependent