Valuation of convertible bond based on uncertain fractional differential equation
Author:
Funder
Natural Science Research Project Foundation of Higher Education Institutions of Jiangsu Province
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10700-024-09431-z.pdf
Reference25 articles.
1. Batten, J., Khaw, K., & Young, M. (2018). Pricing convertible bonds. Journal of Banking & Finance, 92, 216–236.
2. Diethelm, K., Ford, N., & Freed, A. (2002). A predictor-corrector approach for the numerical solution of fractional differential equations. Nonlinear Dynamics, 29, 3–22.
3. Ford, N., & Simpson, A. (2001). The numerical solution of fractional differential equations: Speed versus accuracy. Numerical Algorithms, 26(4), 333–346.
4. He, L., Zhu, Y., & Lu, Z. (2023). Parameter estimation for uncertain fractional differential equations. Fuzzy Optimization and Decision Making, 22(1), 103–122.
5. Ingersoll, J. (1977). A contingent-claims valuation of convertible securities. Journal of Financial Economics, 4(3), 289–321.
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