Perpetual Convertible Bonds

DOI10.1137/S0363012902412458zbMath1101.91048OpenAlexW1969448079MaRDI QIDQ4652526

Mihai Sîrbu, Igor Pikovsky, Steven E. Shreve

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012902412458

zbMATH Keywords

stochastic calculusviscosity solutionsconvertible bonds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear boundary value problems for ordinary differential equations (34B05)

Related Items (15)

Dynkin's games and Israeli options ⋮ Perpetual convertible bonds with credit risk ⋮ A free boundary problem arising from pricing convertible bond ⋮ Free boundary problem concerning pricing convertible bond ⋮ A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS ⋮ Taxation, agency conflicts, and the choice between callable and convertible debt ⋮ A variational inequality from pricing convertible bond ⋮ The pricing of perpetual convertible bond with credit risk ⋮ Arbitrage pricing of defaultable game options with applications to convertible bonds ⋮ Dynkin game of convertible bonds and their optimal strategy ⋮ Pricing convertible bonds and change of probability measure ⋮ Optimal stopping games in models with various information flows ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ Valuation of game options in jump-diffusion model and with applications to convertible bonds ⋮ Pricing Israeli options: a pathwise approach

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