Dynkin game of convertible bonds and their optimal strategy

DOI10.1016/j.jmaa.2015.01.040zbMath1305.91060arXiv1503.08961MaRDI QIDQ2515117

Gechun Liang, Huiwen Yan, Zhou Yang, Fa-huai Yi

Publication date: 11 February 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08961

zbMATH Keywords

variational inequality; free boundary; Dynkin game; convertible bond; reflected BSDE; optimal stopping time problem

Mathematics Subject Classification ID

49N90: Applications of optimal control and differential games

91A80: Applications of game theory

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

91A15: Stochastic games, stochastic differential games

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

91A60: Probabilistic games; gambling

Related Items

Dynkin Games with Poisson Random Intervention Times, Analysis of the optimal exercise boundary of American put options with delivery lags, The stochastic control model for use conversion of land

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