Callable convertible bonds under liquidity constraints and hybrid priorities
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Publication:6667268
DOI10.1137/24M1648454MaRDI QIDQ6667268
David Hobson, Gechun Liang, Edward T. H. Wang
Publication date: 20 January 2025
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
saddle pointorder conditionmixed priorityPoisson signalsconstrained Dynkin gamecallable convertible bond
2-person games (91A05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
Cites Work
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- Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
- A Two‐Person Game for Pricing Convertible Bonds
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- Stopping games with randomized strategies
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