DYNKIN GAME FOR CALLABLE-PUTTABLE CONVERTIBLE BONDS: THE VALUATION AND SENSITIVITY ANALYSIS

Du, K; Wu, Z; Zhang, DT

Wu, Z (corresponding author), Shandong Univ, Sch Math, Jinan 250100, Peoples R China.

COMMUNICATIONS IN MATHEMATICAL SCIENCES, 2021; 19 (3): 647

Abstract

This paper studies the pricing problem for callable-puttable convertible bonds with call-put protections and call notice period as a Dynkin game via t......

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