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q-fin.CP2024
Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options
Rakhymzhan Kazbek, Yogi Erlangga, Yerlan Amanbek +1
Computational efficiency is essential for enhancing the accuracy and practicality of pricing complex financial derivatives. In this paper, we discuss Isogeometric Analysis (IGA) fo…
q-fin.CP2023
Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method
Rakhymzhan Kazbek, Yogi Erlangga, Yerlan Amanbek +1
In this paper, the TF system of two-coupled Black-Scholes equations for pricing the convertible bonds is solved numerically by using the P1 and P2 finite elements with the inequali…