Search Results for author: Rakhymzhan Kazbek

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Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method

no code implementations25 Jan 2023 Rakhymzhan Kazbek, Yogi Erlangga, Yerlan Amanbek, Dongming Wei

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 inequality constraints approximated by the penalty method.

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