THE VALUATION OF CALLABLE-PUTTABLE REVERSE CONVERTIBLE BONDS

DOI10.1142/S0217595910002636zbMath1231.91452MaRDI QIDQ3566766

Kyoko Yagi, Katsushige Sawaki

Publication date: 10 June 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingoptimal boundariesputtable securityreverse convertible bonds

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Convertible bond valuation with regime switching ⋮ Dynkin's games and Israeli options ⋮ Pricing convertible bonds with credit risk under regime switching and numerical solutions

Cites Work

• Valuing continuous-installment options
• Optimal policies of call with notice period requirement
• Monte Carlo analysis of convertible bonds with reset clauses
• Valuation of American continuous-installment options
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
• Option pricing: A simplified approach
• Game options

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