Arbitrage pricing of defaultable game options with applications to convertible bonds

DOI10.1080/14697680701401083zbMATH Open1154.91426OpenAlexW2027287295MaRDI QIDQ3605239FDOQ3605239

Monique Jeanblanc, Marek Rutkowski, Stéphane Crépey, Tomasz R. Bielecki

Publication date: 23 February 2009

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

Full work available at URL: https://doi.org/10.1080/14697680701401083

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zbMATH Keywords

convertible bondsconvertible securitiessemimartingale marketdefaultable game options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic games, stochastic differential games (91A15)

Cites Work

• The fundamental theorem of asset pricing for unbounded stochastic processes
• Brownian Excursions and Parisian Barrier Options
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Game options
• Perpetual Convertible Bonds
• A Two‐Person Game for Pricing Convertible Bonds
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Optimal Stopping in Games with Continuous Time

Cited In (25)

• A Two‐Person Game for Pricing Convertible Bonds
• Convertible bonds with higher loan rate: model, valuation, and optimal strategy
• Second-order BSDEs with general reflection and game options under uncertainty
• Cautious stochastic choice, optimal stopping and deliberate randomization
• PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
• Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• The pricing and optimal strategies of callable warrants
• Dynkin game of convertible bonds and their optimal strategy
• Defaultable game options in a hazard process model
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• Title not available (Why is that?)
• Game options with gradual exercise and cancellation under proportional transaction costs
• Title not available (Why is that?)
• On the value of a time-inconsistent mean-field zero-sum Dynkin game
• Differential game with discrete stopping time
• DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
• Endogenous Formation of Limit Order Books: Dynamics Between Trades
• Equilibrium in two-player non-zero-sum Dynkin games in continuous time
• A differential game with the possibility of early termination
• Arbitrage-free pricing of multi-person game claims in discrete time
• A Dynkin game with asymmetric information
• Callable convertible bonds under liquidity constraints and hybrid priorities
• Dynkin Games with Poisson Random Intervention Times
• The pricing of perpetual convertible bond with credit risk

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