The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
In this paper, we intend to establish the PIDE pricing model of interest rate swap with default risk under Variance Gamma process. Under the assumption of the dynamics assets price process of a counterparty with Variance Gamma (VG) process, we treat the assets price process as a direct variable in the partial integro-differential equation (PIDE) of interest rate swap pricing, different from the working...
In this paper, we describe the dynamic underlying asset with Variance Gamma process(VG), which is one of classical Lévy process with unnormal log distribution but skewness and kurtosis, we calculate the price of CB with Modified Multi-Tree (MMT) model, which is the combination of Multi-stage Compound Option model (MCO) and Multi-Tree model (MT). By estimating the pricing error and comparing our results...
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.
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.