Pricing European convertible bonds: geometric brownian motion vs. CGMY

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Pricing European convertible bonds- geometric brownian motion vs CGMY.pdf (395.81 KB)

Authors

Labuschagne, Coenraad

Offwood, Theresa

Description

Paper presented at Strathmore International Math Research Conference on July 23 - 27, 2012

Keywords

Convertible bonds, CGMY model, Pricing models

URI

http://hdl.handle.net/11071/3573

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SIMS Scholarly Articles