Stochastic volatility vs. jump diffusions : evidence from the Chinese convertible bond market
Chenxi Fan, Xingguo Luo, Qingbiao Wu
| Year of publication: |
May 2017
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|---|---|
| Authors: | Fan, Chenxi ; Luo, Xingguo ; Wu, Qingbiao |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 49.2017, p. 1-16
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| Subject: | Convertible bond pricing | Chinese market | Stochastic volatility | Jump diffusions | Monte Carlo simulation | Wandelanleihe | Convertible bond | Volatilität | Volatility | China | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Rentenmarkt | Bond market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2016.04.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011748345