Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis
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Publication:2057029
DOI10.4310/CMS.2021.V19.N3.A4zbMath1475.91355OpenAlexW3157218546MaRDI QIDQ2057029
Publication date: 8 December 2021
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/cms.2021.v19.n3.a4
Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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