We explicitly solve some mixed initial/boundary value problems for gen- eralized Black-Scholes PDEs with financially relevant boundary conditions. As an illustration, new pricing formulas are obtained for convertible and reverse convertible bonds under credit risk.
Agliardi, R. (2016). Boundary-value problems for PDEs arising in the valuation of structured financial products. PLISKA, 26, 83-98.
Boundary-value problems for PDEs arising in the valuation of structured financial products
AGLIARDI, ROSSELLA
2016
Abstract
We explicitly solve some mixed initial/boundary value problems for gen- eralized Black-Scholes PDEs with financially relevant boundary conditions. As an illustration, new pricing formulas are obtained for convertible and reverse convertible bonds under credit risk.File in questo prodotto:
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