A variational inequality from pricing convertible bond
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Publication:537174
DOI10.1155/2011/309678zbMATH Open1213.91175OpenAlexW1997278551WikidataQ59266925 ScholiaQ59266925MaRDI QIDQ537174FDOQ537174
Authors: Huiwen Yan, Fahuai Yi 
Publication date: 19 May 2011
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/226607
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Cites Work
- The pricing of options and corporate liabilities
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- Elliptic Partial Differential Equations of Second Order
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- A free boundary problem arising from pricing convertible bond
- On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
- Game options
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Regularity of a free boundary in parabolic potential theory
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- A Variational Inequality Arising from European Installment Call Options Pricing
- On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
- Some calculations for Israeli options
- Error estimates for binomial approximations of game options
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- Perpetual Convertible Bonds
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Cited In (7)
- Variational inequality arising from variable annuity with mean reversion environment
- Dynkin game of convertible bonds and their optimal strategy
- Invariance properties of a general bond-pricing equation
- A free boundary problem arising from pricing convertible bond
- Free boundary problem concerning pricing convertible bond
- An American convert close to maturity
- Adapted Downhill Simplex Method for Pricing Convertible Bonds
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