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Strathmore Institute of Mathematical Sciences (SIMs)
SIMs Publications
SIMs Scholarly Articles
Pricing European convertible bonds: geometric brownian motion vs. CGMY
Pricing European convertible bonds: geometric brownian motion vs. CGMY
Date
Authors
Labuschagne, Coenraad
Offwood, Theresa
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
Paper presented at Strathmore International Math Research Conference on July 23 - 27, 2012
Keywords
Convertible bonds
,
CGMY model
,
Pricing models
Citation
URI
http://hdl.handle.net/11071/3573
Collections
SIMs Scholarly Articles
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