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Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme

Sha Lin, Song-Ping Zhu. Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme. Computers & Mathematics with Applications, 79(5):1393-1419, 2020. [doi]

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