Analysis of free boundaries for convertible bonds, with a call feature
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Publication:5419430
DOI10.1080/17476933.2013.795954zbMath1290.35348arXiv1301.4894MaRDI QIDQ5419430
Publication date: 6 June 2014
Published in: Complex Variables and Elliptic Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.4894
Cites Work
- A homogeneity improvement approach to the obstacle problem
- Free boundary problem concerning pricing convertible bond
- Regularity of the free boundary of an American option on several assets
- Regularity of a free boundary in parabolic potential theory
- Lipschitz property of the free boundary in the parabolic obstacle problem
- A Two‐Person Game for Pricing Convertible Bonds
- Degenerate elliptic‐parabolic equations of second order