"Numerically pricing convertible bonds under stochastic volatility or ..."

Sha Lin, Song-Ping Zhu (2020)

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DOI: 10.1016/J.CAMWA.2019.09.003

access: closed

type: Journal Article

metadata version: 2025-01-19

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Sha Lin, Song-Ping Zhu:
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme. Comput. Math. Appl. 79(5): 1393-1419 (2020)

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