Optimal policies of call with notice period requirement

DOI10.1007/S10690-006-9030-9MaRDI QIDQ2372258zbMATH OpenOpenAlexWikidataFDO

Authors Min Dai, Yue Kuen Kwok

Publication date 25 July 2007

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-006-9030-9

zbMATH Keywords

convertible bondsAmerican warrantscall policiesconversion policiesnotice period requirement

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Optimal exercise policies for call options and their valuation
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• Optimal payout policy in presence of downside risk
• Optimal claims with fixed payoff structure
• Optimal premium policy of an insurance firm with stochastic interest rates
• scientific article; zbMATH DE number 1971066
• Optimization of covered calls under uncertainty
• The pricing and optimal strategies of callable warrants
• Optimal investment decision for insurer with option under different interest rates
• Optimal liquidation of a call spread

Cites work

• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• Effects of callable feature on early exercise policy

Cited in

(5)

• The valuation of callable-puttable reverse convertible bonds
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• A free boundary problem arising from pricing convertible bond
• Effects of callable feature on early exercise policy
• Intensity-based framework and penalty formulation of optimal stopping problems

This page was built for publication: Optimal policies of call with notice period requirement

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2372258)