Dynkin game of convertible bonds and their optimal strategy (Q2515117)

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Dynkin game of convertible bonds and their optimal strategy
scientific article

    Statements

    title
    Dynkin game of convertible bonds and their optimal strategy (English)
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    author
    Huiwen Yan
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    Zhou Yang
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    Gechun Liang
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    Fa-huai Yi
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    publication date
    11 February 2015
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    zbMATH Keywords
    convertible bond
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    Dynkin game
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    optimal stopping time problem
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    reflected BSDE
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    variational inequality
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    free boundary
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    Identifiers

    Mathematics Subject Classification ID
    91A80
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    91A15
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    91A60
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    60G40
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    91G20
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    91G80
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    60H30
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    49N90
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    zbMATH DE Number
    6400838
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    OpenAlex ID
    W2305521477
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    arXiv ID
    1503.08961
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