A free boundary problem arising from pricing convertible bond
DOI10.1080/00036810903517563zbMATH Open1187.35295OpenAlexW2003892258WikidataQ58182762 ScholiaQ58182762MaRDI QIDQ3553772FDOQ3553772
Publication date: 21 April 2010
Published in: Applicable Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00036810903517563
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Auctions, bargaining, bidding and selling, and other market models (91B26) Smoothness and regularity of solutions to PDEs (35B65) Free boundary problems for PDEs (35R35) PDEs with randomness, stochastic partial differential equations (35R60) Variational inequalities (49J40) Stochastic models in economics (91B70)
Cites Work
- Stochastic calculus for finance. II: Continuous-time models.
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- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- Perpetual Convertible Bonds
- A Two‐Person Game for Pricing Convertible Bonds
- VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
- Optimal policies of call with notice period requirement
Cited In (12)
- A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
- The existence of a solution to a class of degenerate parabolic variational inequalities
- A variational inequality from pricing convertible bond
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- Analysis of free boundaries for convertible bonds, with a call feature
- Dynkin game of convertible bonds and their optimal strategy
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- Free boundary problem for an optimal investment problem with a borrowing constraint
- Study of weak solutions for degenerate parabolic inequalities with nonstandard conditions
- Free boundary problem concerning pricing convertible bond
- An American convert close to maturity
- Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions
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