Min Dai

National University of Singapore (NUS) - Department of Mathematics

Singapore

  • National University of Singapore (NUS) - Department of Mathematics

SCHOLARLY PAPERS

53

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170

Scholarly Papers (53)

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1.

Optimal Trend Following Trading Rules

Number of pages: 25 Posted: 20 Jul 2011
Min Dai, Qing Zhang and Qiji Jim Zhu
National University of Singapore (NUS) - Department of Mathematics, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 3,879 (2,303)
Citation 7

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trend following trading rule, bull-bear switching model, partial information, HJB equations

2.

Optimal Trend Following Trading Rules

Number of pages: 20 Posted: 27 Jun 2010 Last Revised: 12 Jun 2015
Min Dai, Zhou Yang, Qing Zhang and Qiji Jim Zhu
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 1,300 (14,324)
Citation 2

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3.

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Downloads 741 ( 32,591)
Citation 43

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Number of pages: 17 Posted: 22 Feb 2007
Min Dai, Yue Kuen Kwok and Jianping Zong
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 739 (32,220)
Citation 3

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guaranteed minimum withdrawal benefit, variable annuities, singular stochastic control model

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

Mathematical Finance, Vol. 18, Issue 4, pp. 595-611, October 2008
Number of pages: 17 Posted: 19 Sep 2008
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and affiliation not provided to SSRN
Downloads 2 (661,313)
Citation 42
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4.

Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits

Number of pages: 15 Posted: 08 Feb 2010 Last Revised: 07 May 2010
Min Dai, Yifei Zhong and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics, University of Oxford - Mathematical Institute and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 515 (52,665)
Citation 6

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index arbitrage, optimal stopping, transaction costs, position limits

5.

How Does Illiquidity Affect Delegated Portfolio Choice?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, WFA 2010 Victoria Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 85 Posted: 16 Feb 2009 Last Revised: 12 Oct 2018
Min Dai, Luis Goncalves-Pinto and Jing Xu
National University of Singapore (NUS) - Department of Mathematics, Chinese University of Hong Kong - Department of Finance and Renmin University of China - School of Finance
Downloads 504 (54,102)
Citation 1

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Mutual Funds, Risk Shifting, Portfolio Delegation, Stock Illiquidity

6.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 430 (65,882)
Citation 4

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Black -- Scholes market, optimal stopping, stock goodness index, value function, free-boundary PDE (variational inequality)

7.

Convergence of Binomial Tree Method for European/American Path-Dependent Options

SIAM Journal on Numerical Analysis, Vol. 42, No. 3, pp. 1094-1109, 2004
Number of pages: 20 Posted: 21 Feb 2005
Lishang Jiang and Min Dai
Tongji University - Institute of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 423 (67,193)
Citation 6

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Binomial tree method, European/American path-dependent options, convergence

8.

American Options with Lookback Payoff

Number of pages: 22 Posted: 09 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 406 (70,673)
Citation 4

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Lookback options, American feature, free boundary value problems

9.

Calibration of Stochastic Volatility Models: An Optimal Control Approach

Number of pages: 26 Posted: 21 Oct 2012
Min Dai, Ling Tang and Xingye Yue
National University of Singapore (NUS) - Department of Mathematics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 353 (83,138)

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calibration, stochastic volatility model, option prices, optimal control, inverse problem

10.

A Closed-Form Solution for Perpetual American Floating Strike Lookback Options

Journal of Computational Finance, Vol. 4, No. 2, pp. 63-68, Winter 2000/2001
Number of pages: 8 Posted: 21 Feb 2005
Min Dai
National University of Singapore (NUS) - Department of Mathematics
Downloads 313 (95,113)
Citation 1

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Perpetual American lookback options, closed-form solution, floating strike

11.

Illiquidity, Portfolio Constraints, and Diversification

Number of pages: 44 Posted: 21 Mar 2008
Hong Liu, Min Dai and Hanqing Jin
Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS)
Downloads 306 (97,455)

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Illiquidity, Portfolio Constraints, Portfolio Selection, Transaction Costs

12.

Convergence Analysis of Binomial Tree Method for American-Type Path-Dependent Options

FREE BOUNDARY PROBLEMS: THEORY AND APPLICATIONS, pp. 153-166, Chiba, 1999
Number of pages: 14 Posted: 04 May 2006 Last Revised: 09 Feb 2009
Min Dai and Lishang Jiang
National University of Singapore (NUS) - Department of Mathematics and Tongji University - Institute of Mathematics
Downloads 262 (115,029)
Citation 3

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Path-dependent options, binomial tree method, forward shooting grid method, convergence analysis

13.

Leverage Management in a Bull-Bear Switching Market

UIC College of Business Administration Research Paper No. 10-08
Number of pages: 27 Posted: 17 Mar 2010
Min Dai, Zhou Yang and Hefei Wang
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math and University of Illinois at Chicago - Department of Finance
Downloads 247 (122,209)
Citation 3

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14.

Optimal Policies of Call with Notice Period Requirement for Callable American Warrants and Convertible Bonds

Number of pages: 44 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 231 (130,761)
Citation 6

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American warrant, convertible bond, notice period requirement, callable feature

15.

Optimal Stock Selling/Buying Strategy with Reference to the Ultimate Average

Number of pages: 16 Posted: 28 Jul 2008
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 230 (131,294)
Citation 1

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optimal strategy, average price, optimal stopping problem, variational inequality

16.

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Downloads 210 (143,282)
Citation 6

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Management Science 62(2):368-386, 2015
Number of pages: 50 Posted: 14 Dec 2008 Last Revised: 30 Aug 2017
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 112 (243,416)
Citation 9

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Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Number of pages: 53 Posted: 11 Mar 2009 Last Revised: 28 May 2013
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 98 (267,370)

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment

17.

Pricing Jump Risk with Utility Indifference

Number of pages: 34 Posted: 21 Feb 2005
Lixin Wu and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 209 (143,943)
Citation 2

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Utility maximization, utility indifference prices, minimal entropy martingale measure, jump-diffusion processes, risk neutral valuation

18.

Penalty Methods for Continuous-Time Portfolio Selection with Proportional Transaction Costs

Number of pages: 25 Posted: 07 Aug 2008
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 206 (145,834)
Citation 21

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19.

Multiple Birds, One Stone: Can Portfolio Rebalancing Contribute to Disposition Effect-related Trading Patterns?

Number of pages: 47 Posted: 06 Apr 2015 Last Revised: 30 Jan 2019
Min Dai, Hong Liu and Jing Xu
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and National University of Singapore (NUS)
Downloads 200 (149,940)

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disposition effect, portfolio rebalancing, learning, transaction costs

20.

Opaque Bank Assets and Optimal Equity Capital

Number of pages: 69 Posted: 02 Jun 2016 Last Revised: 19 Jan 2019
Min Dai, Shan Huang and Jussi Keppo
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) and National University of Singapore - NUS Business School
Downloads 194 (154,351)
Citation 1

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bank capital, dividends, investment, earnings smoothing, banking regulation

21.

One-State Variable Binomial Models for European-/American-Style Geometric Asian Options

Quantitative Finance, Vol. 3, No. 4, pp. 288-295, 2003
Number of pages: 16 Posted: 21 Feb 2005
Min Dai
National University of Singapore (NUS) - Department of Mathematics
Downloads 172 (171,963)

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Asian options, geometric average, one-state variable binomial model

22.

Optimal Multiple Stopping Models of Reload Options and Shout Options

Number of pages: 22 Posted: 09 May 2005 Last Revised: 12 Dec 2013
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 168 (175,555)
Citation 7

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employee stock options, reload feature, shout call, multiple optimal stopping, lookback options

23.

Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem

Number of pages: 31 Posted: 12 Dec 2005
Min Dai and Fahuai Yi
National University of Singapore (NUS) - Department of Mathematics and South China Normal University - Department of Math
Downloads 164 (179,196)
Citation 26

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optimal investment, transaction costs, finite horizon, double obstacle problem, stochastic control, Riccati equation, portfolio selection, free boundary

24.

Optimal Stock Selling Based on the Global Maximum

Number of pages: 20 Posted: 23 Feb 2012
Min Dai, Zhou Yang and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics, South China Normal University - Department of Math and University of Oxford - Mathematical Institute
Downloads 162 (181,002)

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Optimal selling strategy, global maximum, square error, variational inequality

25.

Asymptotics for Merton Problem with Capital Gain Taxes and Small Interest Rate

Number of pages: 28 Posted: 13 Dec 2013 Last Revised: 24 Jul 2014
Xinfu Chen and Min Dai
Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 159 (183,982)
Citation 2

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Optimal investment and consumption, Capital gain tax, Merton problem, Continuous-time, Asymptotic expansion

26.

Characterization of Optimal Stopping Regions of American Path Dependent Options

Number of pages: 33 Posted: 03 Jan 2005
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 155 (187,920)
Citation 3

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American options, optimal stopping, Asian feature, lookback feature, monotone properties

27.

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call

Number of pages: 45 Posted: 26 Nov 2010
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), National University of Singapore (NUS) - Department of Mathematics and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 145 (198,619)

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convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

28.

Valuing Employee Reload Options Under Time Vesting Requirement

Number of pages: 21 Posted: 15 Sep 2004
Yue Kuen Kwok and Min Dai
Hong Kong University of Science & Technology - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 142 (201,989)

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employee reload option, time vesting requirement, numerical algorithm

29.

Options with Combined Reset Rights on Strike and Maturity

Number of pages: 25 Posted: 02 Aug 2004
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 140 (204,311)
Citation 2

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Option pricing, strike reset, maturity reset, optimal stopping

30.

A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost

SIAM Journal of Control and Optimization, Vol. 48, pp. 1134-1154, 2009
Number of pages: 8 Posted: 09 Mar 2011
Min Dai and Zhou Yang
National University of Singapore (NUS) - Department of Mathematics and South China Normal University - Department of Math
Downloads 133 (212,884)

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optimal investment and consumption, transaction costs, finite horizon

31.

Optimal Portfolio Choice for Early Retirement with Cointegration between the Stock and Labor Markets

Number of pages: 61 Posted: 16 Mar 2017 Last Revised: 15 Nov 2017
Min Dai, Shan Huang and Seyoung Park
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) and Loughborough University - School of Business and Economics
Downloads 127 (220,672)

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Optimal Consumption, Optimal Investment, Retirement, Cointegration, Income Risks

32.

Pricing Corporate Debt with Finite Maturity and Chapter 11 Proceedings

Number of pages: 15 Posted: 06 Feb 2012 Last Revised: 11 Feb 2012
Min Dai, Lishang Jiang and Jianwei Lin
National University of Singapore (NUS) - Department of Mathematics, Tongji University - Institute of Mathematics and Putian University - Department of Mathematics
Downloads 127 (220,672)

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corporate debt pricing, bankruptcy boundary, declaring boundary, optimal stopping time, chapter 11 bankruptcy code

33.

Intensity-Based Framework and Penalty Formulation of Optimal Stopping Problems

Number of pages: 28 Posted: 28 Feb 2006
Yue Kuen Kwok, Min Dai and Hong You
Hong Kong University of Science & Technology - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS)
Downloads 116 (236,229)
Citation 17

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linear complementarity formulation, mortgage prepayment, optimal stopping

34.

Hiring, Firing, and Relocation under Employment Protection

Number of pages: 55 Posted: 30 Oct 2014 Last Revised: 02 Apr 2015
Min Dai, Jussi Keppo and Tim A Maull
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore - NUS Business School and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 115 (237,693)

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Labor market frictions, job reallocation, stochastic control

35.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
Min Dai, Hanqing Jin and Hong Liu
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 113 (240,663)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

36.

Characterization of Optimal Strategy for Multi-Asset Investment and Consumption with Transaction Costs

Number of pages: 26 Posted: 15 Nov 2012
Xinfu Chen and Min Dai
Independent and National University of Singapore (NUS) - Department of Mathematics
Downloads 108 (248,497)
Citation 1

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portfolio selection, optimal investment and consumption, transaction costs, multiple risky assets, shape of trading and no-trading regions

37.

Is Capital Gains Tax Law Biased Against Low Income Investors?

Number of pages: 43 Posted: 20 Nov 2011 Last Revised: 30 Nov 2011
Min Dai, Hong Liu and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Oxford - Mathematical Institute
Downloads 101 (260,248)

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Capital Gains Tax Law, Portfolio Selection, Consumption, Asymmetric Tax Rates

38.

Analysis of a Degenerate Parabolic Variational Inequality with Gradient Constraints from Optimal Investment and Consumption with Transaction Costs

Number of pages: 22 Posted: 08 Jan 2007
Min Dai, Lishang Jiang and Fahuai Yi
National University of Singapore (NUS) - Department of Mathematics, Tongji University - Institute of Mathematics and South China Normal University - Department of Math
Downloads 93 (274,679)
Citation 2

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optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints

39.

Superhedging Under Ratio Constraint

Number of pages: 20 Posted: 31 Dec 2014
Yingshan Chen, Min Dai, Jing Xu and Mingyu Xu
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 88 (284,435)

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superhedging, ratio constraint, dominating claim, counterexample

40.

Knock-In American Options

Journal of Futures Markets, Vol. 24, No. 2, pp. 179-192, 2004
Number of pages: 12 Posted: 12 Jan 2010 Last Revised: 25 Jun 2013
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 87 (286,469)
Citation 1

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Barrier options, American options, knock in, analytic solutions

41.

Finite Horizon Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization, Vol. 48, No. 2, pp. 1134-1154, 2009
Number of pages: 20 Posted: 08 Dec 2009
Min Dai, Lishang Jiang, Peifan Li and Fahuai Yi
National University of Singapore (NUS) - Department of Mathematics, Tongji University - Institute of Mathematics, affiliation not provided to SSRN and South China Normal University - Department of Math
Downloads 80 (301,447)
Citation 12

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optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints, singular stochastic control

42.

A General Framework for Costly Information Transmission in Continuous Time

Number of pages: 36 Posted: 23 Jul 2010
Yizhou Cao, Min Dai and Hefei Wang
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Mathematics and University of Illinois at Chicago - Department of Finance
Downloads 70 (325,376)

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43.

Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax

Forthcoming: Review of Financial Studies
Number of pages: 50 Posted: 15 Mar 2011 Last Revised: 21 Mar 2015
Min Dai, Hong Liu, Yang Chen and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School, National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 58 (358,307)
Citation 3

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Capital Gains Tax, Tax Timing, Portfolio Selection, Asymmetric Tax Rates

44.

Convex Incentives and Liquidity Premia

Number of pages: 75 Posted: 21 Dec 2018 Last Revised: 16 May 2019
Min Dai, Luis Goncalves-Pinto, Jing Xu and Cheng Yan
National University of Singapore (NUS) - Department of Mathematics, Chinese University of Hong Kong - Department of Finance, Renmin University of China - School of Finance and Durham Business School
Downloads 33 (447,909)

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Mutual Funds, Convex Flows, Bonuses, Transaction Costs, Liquidity Premia

45.

Characterization of Optimal Stopping Regions of American Asian and Lookback Options

Mathematical Finance, Vol. 16, No. 1, pp. 63-82, January 2006
Number of pages: 20 Posted: 21 Jun 2006
Min Dai and Yue Kuen Kwok
National University of Singapore (NUS) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 20 (515,335)
Citation 4
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46.

Optimal Shouting Policies of Options with Strike Reset Right

Mathematical Finance, Vol. 14, No. 3, pp. 383-401, July 2004
Number of pages: 19 Posted: 11 Jul 2004
Min Dai, Yue Kuen Kwok and Lixin Wu
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 19 (521,212)
Citation 7
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47.

Incomplete Information and the Liquidity Premium Puzzle

Number of pages: 56 Posted: 14 Dec 2018
Yingshan Chen, Min Dai, Luis Goncalves-Pinto, Jing Xu and Cheng Yan
South China University of Technology, National University of Singapore (NUS) - Department of Mathematics, Chinese University of Hong Kong - Department of Finance, Renmin University of China - School of Finance and Durham Business School
Downloads 17 (532,825)
Citation 5

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Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

48.

Quanto Lookback Options

Mathematical Finance, Vol. 14, No. 3, pp. 445-467, July 2004
Number of pages: 23 Posted: 13 Aug 2004
Min Dai, Yue Kuen Kwok and Hoi Ying Wong
National University of Singapore (NUS) - Department of Mathematics, Hong Kong University of Science & Technology - Department of Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 17 (532,825)
Citation 1
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Lookback options, quanto feature, early exercise policies

49.

Gini Curve and Top Incomes

Number of pages: 47 Posted: 08 Aug 2017
Min Dai, Steven Kou and Hui Shao
National University of Singapore (NUS) - Department of Mathematics, Boston University and National University of Singapore (NUS) - Risk Management Institute
Downloads 16 (538,472)
Citation 1

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income inequality, top incomes, Gini coefficient, weighted expected utility theory

50.

Non-Concave Utility Maximization without the Concavification Principle

Number of pages: 64 Posted: 19 Jul 2019
Min Dai, Steven Kou, Shuaijie Qian and Xiangwei Wan
National University of Singapore (NUS) - Department of Mathematics, Boston University, National University of Singapore (NUS) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 7 (593,432)

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Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution

51.

Optimal Stock Selling/Buying Strategy with Reference to the Ultimate Average

Mathematical Finance, Vol. 22, Issue 1, pp. 165-184, 2012
Posted: 21 Jan 2012
Min Dai and Yifei Zhong
National University of Singapore (NUS) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads 3 (621,266)
Citation 3
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optimal selling/buying strategy, ultimate average, time‐vesting

52.

Optimal Redeeming Strategy of Stock Loans with Finite Maturity

Mathematical Finance, Vol. 21, Issue 4, pp. 775-793, 2011
Number of pages: 19 Posted: 23 Aug 2011
Min Dai and Zuo Quan Xu
National University of Singapore (NUS) - Department of Mathematics and Hong Kong Polytechnic University
Downloads 2 (631,171)
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stock loans, finite maturity, optimal strategy, optimal stopping

53.

A Nonzero‐Sum Game Approach to Convertible Bonds: Tax Benefit, Bankruptcy Cost, and Early/Late Calls

Mathematical Finance, Vol. 23, Issue 1, pp. 57-93, 2013
Number of pages: 37 Posted: 10 Jan 2013
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), National University of Singapore (NUS) - Department of Mathematics and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 1 (643,830)
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convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities