A variational inequality from pricing convertible bond

DOI10.1155/2011/309678MaRDI QIDQ537174zbMATH OpenOpenAlexWikidataFDO

Authors Huiwen Yan, Fahuai Yi

Publication date 19 May 2011

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://eudml.org/doc/226607

Mathematics Subject Classification ID

Variational inequalities (49J40) Financial applications of other theories (91G80)

Recommendations

• Free boundary problem concerning pricing convertible bond
• The pricing of perpetual convertible bond with credit risk
• A free boundary problem arising from pricing convertible bond
• Dynkin game of convertible bonds and their optimal strategy
• A variational inequality arising from American installment call options pricing

Cites work

• scientific article; zbMATH DE number 41299 (Why is no real title available?)
• scientific article; zbMATH DE number 5233919 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• A Two‐Person Game for Pricing Convertible Bonds
• A Variational Inequality Arising from European Installment Call Options Pricing
• A free boundary problem arising from pricing convertible bond
• CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
• Elliptic Partial Differential Equations of Second Order
• Error estimates for binomial approximations of game options
• Game options
• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Perpetual Convertible Bonds
• Regularity of a free boundary in parabolic potential theory
• Some calculations for Israeli options
• Stochastic games and variational inequalities
• The pricing of options and corporate liabilities

Cited in

(7)

• An American convert close to maturity
• Variational inequality arising from variable annuity with mean reversion environment
• Adapted Downhill Simplex Method for Pricing Convertible Bonds
• Free boundary problem concerning pricing convertible bond
• Dynkin game of convertible bonds and their optimal strategy
• A free boundary problem arising from pricing convertible bond
• Invariance properties of a general bond-pricing equation

This page was built for publication: A variational inequality from pricing convertible bond

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q537174)