Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis

DOI10.4310/CMS.2021.V19.N3.A4zbMATH Open1475.91355OpenAlexW3157218546MaRDI QIDQ2057029FDOQ2057029

Authors: Kai Du, Zhen Wu, Detao Zhan 

Publication date: 8 December 2021

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cms.2021.v19.n3.a4

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zbMATH Keywords

sensitivity analysisDynkin gameparabolic PDEcallable-puttable convertible bonddoubly reflected BSDE

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic games; gambling (91A60)

Cited In (8)

• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
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• Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Callable convertible bonds under liquidity constraints and hybrid priorities
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• The valuation of callable-puttable reverse convertible bonds

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