A free boundary problem arising from pricing convertible bond
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Publication:3553772
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)
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Cites work
- scientific article; zbMATH DE number 3895476 (Why is no real title available?)
- A Two‐Person Game for Pricing Convertible Bonds
- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- Optimal policies of call with notice period requirement
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Perpetual Convertible Bonds
- Stochastic calculus for finance. II: Continuous-time models.
- VALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACH
Cited in
(12)- An American convert close to maturity
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- Free boundary problem concerning pricing convertible bond
- Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions
- Dynkin game of convertible bonds and their optimal strategy
- A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds
- scientific article; zbMATH DE number 5524410 (Why is no real title available?)
- Analysis of free boundaries for convertible bonds, with a call feature
- Free boundary problem for an optimal investment problem with a borrowing constraint
- The existence of a solution to a class of degenerate parabolic variational inequalities
- Study of weak solutions for degenerate parabolic inequalities with nonstandard conditions
- A variational inequality from pricing convertible bond
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