Arbitrage pricing of defaultable game options with applications to convertible bonds

DOI10.1080/14697680701401083zbMath1154.91426OpenAlexW2027287295MaRDI QIDQ3605239

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

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

zbMATH Keywords

convertible bondsconvertible securitiessemimartingale marketdefaultable game options

Mathematics Subject Classification ID

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

Related Items (20)

Differential game with discrete stopping time ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Second-order BSDEs with general reflection and game options under uncertainty ⋮ Cautious stochastic choice, optimal stopping and deliberate randomization ⋮ Convertible bonds with higher loan rate: model, valuation, and optimal strategy ⋮ DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ Arbitrage-free pricing of multi-person game claims in discrete time ⋮ A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS ⋮ Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives ⋮ A Dynkin game with asymmetric information ⋮ Equilibrium in two-player non-zero-sum Dynkin games in continuous time ⋮ PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS ⋮ Unnamed Item ⋮ The pricing of perpetual convertible bond with credit risk ⋮ The pricing and optimal strategies of callable warrants ⋮ Dynkin game of convertible bonds and their optimal strategy ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ A differential game with the possibility of early termination ⋮ Defaultable game options in a hazard process model

Cites Work

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

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