Gong, Pu; He, Zhiwei; Zhu, Song-Ping - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 449-462
In this paper, we introduce the concept of multi-stage compound options to the valuation of convertible bonds (CBs). Rather than evaluating a nested high-dimensional integral that has arisen from the valuation of multi-stage compound options, we found that adopting the finite difference method...
