Free boundary problem concerning pricing convertible bond

DOI10.1002/MMA.1420MaRDI QIDQ3005118zbMATH OpenOpenAlexFDO

Authors Zhou Yang, Fahuai Yi

Publication date 7 June 2011

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.1420

zbMATH Keywords

American-styleconvertible bondfree boundaryvariational inequality

Mathematics Subject Classification ID

Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) A priori estimates in context of PDEs (35B45) Smoothness and regularity of solutions to PDEs (35B65) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) Free boundary problems for PDEs (35R35) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• A free boundary problem arising from pricing convertible bond
• A variational inequality from pricing convertible bond
• Analysis of free boundaries for convertible bonds, with a call feature
• An American convert close to maturity
• The pricing of perpetual convertible bond with credit risk

Cites work

• A free boundary problem arising from pricing convertible bond
• A parabolic variational inequality arising from the valuation of strike reset options
• A Two‐Person Game for Pricing Convertible Bonds
• A Variational Inequality Arising from European Installment Call Options Pricing
• Elliptic Partial Differential Equations of Second Order
• scientific article; zbMATH DE number 3125480 (Why is no real title available?)
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Perpetual Convertible Bonds
• Regularity of a free boundary in parabolic potential theory
• The pricing of options and corporate liabilities
• The regularity of free boundaries in higher dimensions

Cited in

(9)

• Pricing puttable convertible bonds with integral equation approaches
• Dynkin game of convertible bonds and their optimal strategy
• A free boundary problem arising from pricing convertible bond
• An American convert close to maturity
• A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
• A variational inequality from pricing convertible bond
• Analysis of free boundaries for convertible bonds, with a call feature
• A free boundary problem for a flexible loan based on the borrower asset
• Discontinuous Galerkin finite element method for a fourth order parabolic variational inequality

This page was built for publication: Free boundary problem concerning pricing convertible bond

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3005118)