A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS

DOI10.1111/j.1467-9965.2011.00488.xzbMath1282.91065OpenAlexW2170536262MaRDI QIDQ4906514

Min Dai, Xiangwei Wan, Nan Chen

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00488.x

zbMATH Keywords

variational inequalitiesNash equilibriumcredit riskstochastic gameconvertible bondslate and early callstax benefit

Mathematics Subject Classification ID

Other game-theoretic models (91A40) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (8)

A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes ⋮ Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications ⋮ Nonzero-sum stochastic differential games between an impulse controller and a stopper ⋮ Dynkin's games and Israeli options ⋮ Game Options Analysis of the Information Role of Call Policies in Convertible Bonds ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Dynkin game of convertible bonds and their optimal strategy ⋮ Dynkin Games with Poisson Random Intervention Times

Cites Work

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• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Optimal Stopping of One-Dimensional Diffusions
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Perpetual Convertible Bonds
• A Two‐Person Game for Pricing Convertible Bonds
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• Credit risk: Modelling, valuation and hedging

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