Arbitrage pricing of defaultable game options with applications to convertible bonds
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Publication:3605239
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Cites work
- A Two‐Person Game for Pricing Convertible Bonds
- Brownian Excursions and Parisian Barrier Options
- Game options
- Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
- Optimal Stopping in Games with Continuous Time
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
- Perpetual Convertible Bonds
- The fundamental theorem of asset pricing for unbounded stochastic processes
Cited in
(28)- Optimal weak static hedging of equity and credit risk using derivatives
- Cautious stochastic choice, optimal stopping and deliberate randomization
- Endogenous formation of limit order books: dynamics between trades
- Equilibrium in two-player non-zero-sum Dynkin games in continuous time
- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
- On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
- Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis
- scientific article; zbMATH DE number 7278388 (Why is no real title available?)
- Game options with gradual exercise and cancellation under proportional transaction costs
- Convertible bonds with higher loan rate: model, valuation, and optimal strategy
- A Two‐Person Game for Pricing Convertible Bonds
- Second-order BSDEs with general reflection and game options under uncertainty
- Monte Carlo bounds for game options including convertible bonds
- Dynkin game of convertible bonds and their optimal strategy
- Convertible bonds in a defaultable diffusion model
- Defaultable options in a Markovian intensity model of credit risk
- The pricing and optimal strategies of callable warrants
- Defaultable game options in a hazard process model
- A Dynkin game with asymmetric information
- A differential game with the possibility of early termination
- Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
- Dynkin games with Poisson random intervention times
- Differential game with discrete stopping time
- Arbitrage-free pricing of multi-person game claims in discrete time
- The pricing of perpetual convertible bond with credit risk
- On the value of a time-inconsistent mean-field zero-sum Dynkin game
- Callable convertible bonds under liquidity constraints and hybrid priorities
- Differential game with discrete stopping time
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