A Variational Inequality from Pricing Convertible Bond
<p/> <p>The model of pricing American-style convertible bond is formulated as a zero-sum Dynkin game, which can be transformed into a parabolic variational inequality (PVI). The fundamental variable in this model is the stock price of the firm which issued the bond, and the differential...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2011-01-01
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| Series: | Advances in Difference Equations |
| Online Access: | http://www.advancesindifferenceequations.com/content/2011/309678 |