Where I can find numerical implementation (in any programming language) of convertible bonds pricer based on the following article:

E. Ayache, P. A. Forsyth, K. R. Vetzal, "The Valuation of Convertible Bonds With Credit Risk"

For more details I refer also to this topic: Link

  • 1
    $\begingroup$ For what its worth the implementation requested would appear to be an application of the crank-nicholson discretisation method to the numerical method (A) described on page 23 within the conclusion section. Also possibly an extension to the supplementary method (A.2) $\endgroup$ – Attack68 Oct 13 '18 at 6:09
  • $\begingroup$ The model is old so I believe it has already been implemented in some pricing libraries (R, Python, C++, etc). Maybe somebody knows where i can find it. Thanks for your input. $\endgroup$ – B_B Oct 13 '18 at 7:36

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.