Valuation of Euro-Convertible Bonds in a Markov-Modulated, Cox–Ingersoll–Ross Economy
This study investigates the valuation of Euro-convertible bonds (ECBs) using a novel Markov-modulated cojump-diffusion (MMCJD) model, which effectively captures the dynamics of stochastic volatility and simultaneous jumps (cojumps) in both the underlying stock prices and foreign exchange (FX) rates....
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| Glavni autori: | , , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
MDPI AG
2025-06-01
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| Serija: | Mathematics |
| Teme: | |
| Online pristup: | https://www.mdpi.com/2227-7390/13/13/2075 |
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