Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
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References listed on IDEAS
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
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Keywordscross-currency convertibles; credit spread; interest rate risk; American feature; local volatility; Crank-Nicholson.;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-01-22 (All new papers)
- NEP-FMK-2002-01-22 (Financial Markets)
- NEP-IFN-2002-01-22 (International Finance)
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