Callable barrier reverse convertible securities
研究了基于一个或两个标的资产的可赎回障碍反向可转换合约的定价问题，推导了最优赎回策略和定价公式，并进行了数值实验。
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.