Convertible Bonds in a Defaultable Diffusion Model
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Publication:2909987
DOI10.1007/978-3-0348-0097-6_16zbMath1246.91142OpenAlexW149123976MaRDI QIDQ2909987
Marek Rutkowski, Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc-Picqué
Publication date: 7 September 2012
Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.219.7384
Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Credit risk (91G40)
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