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- W3191874498 abstract "We study the valuation of callable barrier reverse convertible contracts written on one or two underlying asset prices. We assume the issuer of the contract can call early redemption at any time during a pre-specified time interval. We identify the optimal redemption policy and show, in the single underlying asset case, it is characterized by a time-dependent boundary. The boundary satisfies a nonlinear integral equation of the Volterra type. When there are two underlying assets, the boundary is a surface depending on one price in addition to time. Valuation formulas and associated integral equations are derived. Numerical experiments are performed." @default.
- W3191874498 created "2021-08-16" @default.
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- W3191874498 date "2021-01-01" @default.
- W3191874498 modified "2023-09-23" @default.
- W3191874498 title "Callable Barrier Reverse Convertible Securities" @default.
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- W3191874498 doi "https://doi.org/10.2139/ssrn.3861980" @default.
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