The valuation of callable-puttable reverse convertible bonds

DOI10.1142/S0217595910002636MaRDI QIDQ3566766zbMATH OpenFDO

Authors Kyoko Yagi, Katsushige Sawaki

Publication date 10 June 2010

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0217595910002636

zbMATH Keywords

optimal boundariesoptimal stoppingputtable securityreverse convertible bonds

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Game options
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
• Monte Carlo analysis of convertible bonds with reset clauses
• Optimal policies of call with notice period requirement
• Option pricing: A simplified approach
• Valuation of American continuous-installment options
• Valuing continuous-installment options

Cited in

(10)

• Pricing convertible bonds with credit risk under regime switching and numerical solutions
• Dynkin's games and Israeli options
• Pricing puttable convertible bonds with integral equation approaches
• Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis
• Convertible bond valuation with regime switching
• Valuing callable and putable revenue-performance-linked project backed securities
• scientific article; zbMATH DE number 5669806 (Why is no real title available?)
• VALUATION OF EXCHANGEABLE CONVERTIBLE BONDS
• THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS
• scientific article; zbMATH DE number 2190136 (Why is no real title available?)

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