Dynkin game of convertible bonds and their optimal strategy
Author:
Funder
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
Applied Mathematics,Analysis
Reference24 articles.
1. Arbitrage pricing of defaultable game options with applications to convertible bonds;Bielecki;Quant. Finance,2008
2. On the regularity of the free boundary in the parabolic obstacle problem. Application to American options;Blanchet;Nonlinear Anal.,2006
3. Convertible bonds: valuation and optimal strategies for call and conversion;Brennan;J. Finance,1977
4. A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls;Chen;Math. Finance,2013
5. Pricing convertible bonds with call protection;Crépey;J. Comput. Finance,2011
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1. Analyzing interactive call, default, and conversion policies for corporate bonds;Journal of Futures Markets;2022-06-13
2. Analysis of the optimal exercise boundary of American put options with delivery lags;Journal of Mathematical Analysis and Applications;2021-05
3. The Stochastic Control Model for Use Conversion of Land;Chinese Annals of Mathematics, Series B;2021-03
4. Dynkin Games with Poisson Random Intervention Times;SIAM Journal on Control and Optimization;2019-01
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