Journal of Computational Finance

The singularity-separating method for two-factor convertible bonds

You-lan Zhu and Yingjun Sun


If a convertible bond is on a stock paying a continuous dividend or if a convertible bond has a call or a put feature, then fast and accurate pricing of such a bond is somewhat difficult, because the problem involves free boundaries. Recent work has shown that the singularity-separating method of Zhu and co-workers can very quickly give highly accurate solutions of American options, which also involve free boundaries. In this paper, the authors generalize this method, so that two-factor convertible bonds with such features can be evaluated in a similar way.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: