猫宝宝 2016-01-02 16:45:21
Description: American European American options convertible bonds convertible bonds of very useful code is quite good
Plat: matlab | Size: 27KB | Downloads: 8
xj 2012-05-30 16:44:48
Description: This thesis is devoted to evaluating two-factor convertible bonds. Di® erent zero- coupon bond curves are inputted when evaluating convertible bonds issued by com- panies with di® erent credit ratings. Thus the e® ect of the company s credit on the price of the convertible bond is easily and accurately included during the computa- tion. In the model for the interest rate, the parameters in the variance are determined from the market data by statistics and the market price of risk is determined by a zero-coupon bond curve through solving an inverse problem. When we price the con- vertible bond, a free-boundary problem is solved. A Singularity-Separating Method (SSM) is proposed in order to solve this problem e±ciently. Taking the market data
Plat: matlab | Size: 562KB | Downloads: 5
2012-02-02 13:18:57
Description: convertable bond
Plat: matlab | Size: 1KB | Downloads: 13