Pricing Moving Window Parisian Option and Applications in Convertible Bonds.

Dongmei Guo Bin Song Shouyang Wang Bingjie Zhang

Published in: ICCS (2013)

Keyphrases

convertible bonds
moving window
option pricing
black scholes
pricing model
real option
financial crisis
multiscale analysis
black scholes model
decision analysis
stock price
bi level
natural gas
decision making
credit risk
empirical analysis
power plant
life cycle
cooperative