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.
Monte Carlo analysis of convertible bonds with reset clause
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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.