A deep learning dynamic programming scheme prices path-dependent convertible bonds under GBM, CEV and Heston dynamics, showing that reset and call clauses dominate the underlying process in determining value and that downward resets can paradoxically lower bond prices.
Valuing American options by simulation: a simple least-squares approach
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Discounting sensitivities align liquidity forecasting with self-financing replication, while a liquidity valuation adjustment captures settlement lags.
citing papers explorer
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A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
A deep learning dynamic programming scheme prices path-dependent convertible bonds under GBM, CEV and Heston dynamics, showing that reset and call clauses dominate the underlying process in determining value and that downward resets can paradoxically lower bond prices.
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Replication-Consistent Liquidity Forecasting for Derivatives -- Forward Funding Sensitivities and a Liquidity Valuation Adjustment for Settlement Lags
Discounting sensitivities align liquidity forecasting with self-financing replication, while a liquidity valuation adjustment captures settlement lags.