scientific article; zbMATH DE number 2190136

MaRDI QIDQ5462196zbMATH OpenFDO

Authors Kyoko Yagi, Katsushige Sawaki

Publication date 1 August 2005

zbMATH Keywords

asset pricingcallable discountoptimal boundariesoptimal stopping time

Mathematics Subject Classification ID

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(21)

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• Pricing puttable convertible bonds with integral equation approaches
• Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis
• Dynkin game of convertible bonds and their optimal strategy
• The optimal investor strategy on financial market of derivatives
• Optimal stopping games in models with various information flows
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• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• A Two‐Person Game for Pricing Convertible Bonds
• A refined Laplace-Carson transform approach to valuing convertible bonds
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• PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
• Perpetual convertible bonds in jump-diffusion models
• Callable convertible bonds under liquidity constraints and hybrid priorities
• Taxation, agency conflicts, and the choice between callable and convertible debt
• The pricing and optimal strategies of callable warrants
• A game options approach to the investment problem with convertible debt financing

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