Convertible bonds with higher loan rate: model, valuation, and optimal strategy

DOI10.1155/2014/341519zbMath1406.91456OpenAlexW2053975290WikidataQ59036258 ScholiaQ59036258MaRDI QIDQ1723891

Haiyang Wang, Zhen Wu

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/341519

zbMATH Keywords

backward stochastic differential equationsconvertible bond pricinghedging portfolio strategy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

Related Items (1)

Quadratic reflected BSDEs and related obstacle problems for PDEs

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Dividends sharing convertible bonds pricing and numerical evaluation
• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance

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