Analysis of free boundaries for convertible bonds, with a call feature

DOI10.1080/17476933.2013.795954zbMath1290.35348arXiv1301.4894OpenAlexW2076221836MaRDI QIDQ5419430

Sadna Sajadini

Publication date: 6 June 2014

Published in: Complex Variables and Elliptic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.4894

zbMATH Keywords

regularityblow upfree boundaryconvertible bonds

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35)

Cites Work

• A homogeneity improvement approach to the obstacle problem
• Free boundary problem concerning pricing convertible bond
• Regularity of the free boundary of an American option on several assets
• Regularity of a free boundary in parabolic potential theory
• Lipschitz property of the free boundary in the parabolic obstacle problem
• A Two‐Person Game for Pricing Convertible Bonds
• Degenerate elliptic‐parabolic equations of second order

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