A Two‐Person Game for Pricing Convertible Bonds

DOI10.1137/050630222zbMath1141.91309OpenAlexW2107008511MaRDI QIDQ5294594

Mihai Sîrbu, Steven E. Shreve

Publication date: 25 July 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050630222

zbMATH Keywords

optimal stoppingfree boundaryviscosity solutionstwo-person gameconvertible bonds

Mathematics Subject Classification ID

2-person games (91A05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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