Optimal policies of call with notice period requirement

DOI10.1007/s10690-006-9030-9zbMath1283.91172OpenAlexW2100913639WikidataQ60148460 ScholiaQ60148460MaRDI QIDQ2372258

Min Dai, Yue Kuen Kwok

Publication date: 25 July 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9030-9

zbMATH Keywords

convertible bondsAmerican warrantscall policiesconversion policiesnotice period requirement

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A free boundary problem arising from pricing convertible bond ⋮ A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS ⋮ THE VALUATION OF CALLABLE-PUTTABLE REVERSE CONVERTIBLE BONDS ⋮ Intensity-based framework and penalty formulation of optimal stopping problems

Cites Work

• Effects of callable feature on early exercise policy
• Unnamed Item

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