Two-factor convertible bonds valuation using the method of characteristics/finite elements

This publication has 44 references indexed in Scilit:

• A finite volume approach for contingent claims valuation
  IMA Journal of Numerical Analysis, 2001
• Pricing and Hedging Convertible Bonds under Non-Probabilistic Interest Rates
  The Journal of Derivatives, 2000
• Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities
  The Journal of Business, 1998
• The Putable Bond Market
  The Journal of Fixed Income, 1997
• Binomial models for option valuation - examining and improving convergence
  Applied Mathematical Finance, 1996
• The use and pricing of convertible bonds
  Applied Mathematical Finance, 1996
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
  Mathematical Finance, 1996
• Evaluation of Callable Bonds: Finite Difference Methods, Stability and Accuracy
  The Economic Journal, 1995
• Efficient Procedures for Valuing European and American Path-Dependent Options
  The Journal of Derivatives, 1993
• On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
  Numerische Mathematik, 1982