A free boundary problem arising from pricing convertible bond

DOI10.1080/00036810903517563zbMath1187.35295OpenAlexW2003892258WikidataQ58182762 ScholiaQ58182762MaRDI QIDQ3553772

Zhou Yang, Fa-huai Yi

Publication date: 21 April 2010

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036810903517563

zbMATH Keywords

variational inequalityfree boundaryconvertible bondAmerican-style

Mathematics Subject Classification ID

Variational inequalities (49J40) Smoothness and regularity of solutions to PDEs (35B65) Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35)

Related Items

Study of weak solutions for degenerate parabolic inequalities with nonstandard conditions ⋮ Free boundary problem concerning pricing convertible bond ⋮ Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions ⋮ A variational inequality from pricing convertible bond ⋮ Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme ⋮ Dynkin game of convertible bonds and their optimal strategy ⋮ The existence of a solution to a class of degenerate parabolic variational inequalities

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