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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Detalhes bibliográficos

Principais autores:	Yu-Min Lian, Jun-Home Chen, Szu-Lang Liao
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2025-06-01
coleção:	Mathematics
Assuntos:	Euro-convertible bond (ECB) Markov-modulated cojump-diffusion (MMCJD) model cojump Markov-modulated Cox–Ingersoll–Ross (MMCIR) model least-squares Monte Carlo (LSMC) method
Acesso em linha:	https://www.mdpi.com/2227-7390/13/13/2075
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