Callable convertible bonds under liquidity constraints and hybrid priorities

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)

zbMATH Keywords

saddle pointorder conditionmixed priorityPoisson signalsconstrained Dynkin gamecallable convertible bond

Mathematics Subject Classification ID

2-person games (91A05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cites Work

• Zero-sum Markov games with stopping and impulsive strategies
• Backward stochastic differential equations with reflection and Dynkin games
• Dynkin's games and Israeli options
• The shape of the value function under Poisson optimal stopping
• Constrained optimal stopping, liquidity and effort
• On the value of non-Markovian Dynkin games with partial and asymmetric information
• Optimal stopping with information constraint
• On the robust Dynkin game
• A zero-sum Poisson stopping game with asymmetric signal rates
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Optimal Stopping Games for Markov Processes
• Sur un problème de dynkin
• Optimal stopping with random intervention times
• Perpetual Convertible Bonds
• Continuous-Time Dynkin Games with Mixed Strategies
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• Dynkin Games with Incomplete and Asymmetric Information
• Dynkin Games with Poisson Random Intervention Times
• Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
• A Two‐Person Game for Pricing Convertible Bonds
• The Value of Zero-Sum Stopping Games in Continuous Time
• Stopping games with randomized strategies

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