The pricing of perpetual convertible bond with credit risk

DOI10.1007/S11766-010-2288-8zbMath1240.91173OpenAlexW2069825086MaRDI QIDQ551442

Lele Wang, Baojun Bian

Publication date: 19 July 2011

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-010-2288-8

zbMATH Keywords

variational inequalityfree boundarydefault riskoptimal stopping problemconvertible bond

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Boundary theory for Markov processes (60J50) Credit risk (91G40)

Related Items (1)

Pricing warrant bonds with credit risk under a jump diffusion process

Cites Work

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• Defaultable game options in a hazard process model
• DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
• Perpetual convertible bonds with credit risk
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• User’s guide to viscosity solutions of second order partial differential equations
• Perpetual Convertible Bonds
• A Two‐Person Game for Pricing Convertible Bonds
• Credit risk: Modelling, valuation and hedging

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