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Perpetual convertible bonds in jump-diffusion models
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Pavel V. Gapeev
Veröffentlicht/Copyright:
25. September 2009
Summary
A convertible (callable) bond is a security that the holder can convert into a specified number of underlying shares. In addition, the issuer can recall the bond, paying some compensation, or force the holder to convert it immediately. We give an explicit solution to the corresponding optimal stopping game in the context of a reduced form model driven by a Brownian motion and a compound Poisson process with exponential jumps. It turns out that the occurrence of jumps leads to optimal stopping strategies whose structure differs from the results for continuous models.
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Published Online: 2009-09-25
Published in Print: 2005-01-01
© R. Oldenbourg Verlag, München
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Artikel in diesem Heft
- Optimal consumption strategies under model uncertainty
- Perpetual convertible bonds in jump-diffusion models
- On low dimensional case in the fundamental asset pricing theorem with transaction costs
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- Approximations of empirical probability generating processes
Artikel in diesem Heft
- Optimal consumption strategies under model uncertainty
- Perpetual convertible bonds in jump-diffusion models
- On low dimensional case in the fundamental asset pricing theorem with transaction costs
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
- Approximations of empirical probability generating processes
