Perpetual convertible bonds with credit risk

DOI10.1080/17442500802263888zbMath1165.62076OpenAlexW2170861161MaRDI QIDQ3549304

Christoph Kühn, Kees van Schaik

Publication date: 22 December 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500802263888

zbMATH Keywords

default riskoptimal stopping problemsfree-boundary problemsconvertible bonds

Mathematics Subject Classification ID

Related Items (3)

A zero-sum Poisson stopping game with asymmetric signal rates ⋮ Dynkin's games and Israeli options ⋮ The pricing of perpetual convertible bond with credit risk

Cites Work

• A change-of-variable formula with local time on curves
• Perpetual Convertible Bonds
• A Two‐Person Game for Pricing Convertible Bonds
• Perpetual convertible bonds in jump-diffusion models
• Credit risk: Modelling, valuation and hedging

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