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- W2115544477 abstract "In this paper, we get the pricing framework of the convertible bond (CB) with call clause in exponential variance Gamma (EVG) model rather than the classical Black-Scholes (BS) model. From numerical calculation, we conclude that the new approach does lead to a different pricing method, but the difference of prices is insignificantly and the optimal stopping strategies are exactly the same." @default.
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- W2115544477 date "2009-07-01" @default.
- W2115544477 modified "2023-09-26" @default.
- W2115544477 title "Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model" @default.
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- W2115544477 doi "https://doi.org/10.1109/bife.2009.156" @default.
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