Callable convertible bonds under liquidity constraints
Callable convertible bonds under liquidity constraints
This paper provides a complete solution to the callable convertible bond studied in [Liang and Sun, Dynkin games with Poisson random intervention times, SIAM Journal on Control and Optimization, 57(4), 2962--2991, 2019], and corrects an error in Proposition 6.2 of that paper. The callable convertible bond is an example of …