Dynkin games with Poisson random intervention times
Gechun Liang () and
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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.
Date: 2018-03, Revised 2019-07
New Economics Papers: this item is included in nep-gth, nep-hpe and nep-mic
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1803.00329
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