英文标题：
《Dynkin Game of Convertible Bonds and Their Optimal Strategy》
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作者：
Huiwen Yan, Zhou Yang, Fahuai Yi, Gechun Liang
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最新提交年份：
2015
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英文摘要：
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint, and then in a Markovian setting, we investigate the optimal strategy by analyzing the properties of the corresponding free boundary, including its position, asymptotics, monotonicity and regularity. We identify situations when call precedes conversion, and vice versa. Moreover, we show that the irregular payoff results in the possibly non-monotonic conversion boundary. Surprisingly, the price of the convertible bond is not necessarily monotonic in time: it may even increase when time approaches maturity.
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中文摘要：
本文利用倒向随机微分方程方法和变分不等式方法，将可转换债券作为一个Dynkin博弈来研究其估值和最优策略。我们首先将这样一个Dynkin对策归结为一个具有状态约束的最优停止时间问题，然后在马尔可夫环境下，通过分析相应自由边界的位置、渐近性、单调性和正则性等性质来研究最优策略。我们确定调用在转换之前的情况，反之亦然。此外，我们还证明了不规则支付导致可能的非单调转换边界。令人惊讶的是，可转换债券的价格在时间上并不一定是单调的：它甚至可能在时间接近到期时上涨。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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