A free boundary problem arising from pricing convertible bond

被引：17

作者：

Yang, Zhou ^{[1
]}

Yi, Fahuai ^{[1
]}

机构：

[1] S China Normal Univ, Dept Math, Guangzhou 510631, Guangdong, Peoples R China

来源：

APPLICABLE ANALYSIS | 2010年 / 89卷 / 03期

关键词：

convertible bond; American-style; free boundary; variational inequality; VALUATION;

D O I：

10.1080/00036810903517563

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this article we study the behaviours of the optimal conversion boundary (i.e. free boundary) of an American-style convertible bond with finite horizon (i.e. parabolic case). We prove the existence and the uniqueness of the strong solution of the problem and the boundedness and smoothness of the free boundary. Moreover, we characterize the free boundary's start point and present two numerical results.

引用

页码：307 / 323

页数：17

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