Loading...
Please wait, while we are loading the content...
Similar Documents
O C ] 1 M ar 2 01 8 Dynkin games with Poisson random intervention times
| Content Provider | Semantic Scholar |
|---|---|
| Author | Liang, Gechun Sun, Haodong |
| Copyright Year | 2018 |
| Abstract | This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are characterized by the solution of a backward stochastic differential equation. The paper further applies the model to study the optimal conversion and calling strategies of convertible bonds, and their asymptotics when the Poisson intensity goes to infinity. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://export.arxiv.org/pdf/1803.00329 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
