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zbMath1199.91198MaRDI QIDQ3601617

Roland Mallier, Ghada Alobaidi

Publication date: 11 February 2009

Full work available at URL: https://eudml.org/doc/117146

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Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

asymptotics free boundary Vasicek model CIR model convertible securities

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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