The pricing and optimal strategies of callable warrants

DOI10.1016/j.ejor.2010.02.002zbMath1188.91075OpenAlexW1968099207MaRDI QIDQ976411

Katsushige Sawaki, Kyoko Yagi

Publication date: 11 June 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.02.002

zbMATH Keywords

financeoptimal stopping problemwarrantscall clausesdecomposition of priceoptimal boundary

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (6)

Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ Strategic bank closure and deposit insurance valuation ⋮ Dynkin's games and Israeli options ⋮ Pricing levered warrants with dilution using observable variables ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail

Cites Work

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• CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• A Two‐Person Game for Pricing Convertible Bonds
• Option pricing: A simplified approach
• Game options

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