Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

DOI10.1080/1350486X.2015.1040522zbMath1396.91796OpenAlexW1644234188WikidataQ60148425 ScholiaQ60148425MaRDI QIDQ4682483

Nan Chen, Yue Kuen Kwok, Chi Man Leung

Publication date: 18 September 2018

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

Full work available at URL: https://doi.org/10.1080/1350486x.2015.1040522

zbMATH Keywords

game optionsconvertible bondssignalling equilibriumcall provision

Mathematics Subject Classification ID

2-person games (91A05) Derivative securities (option pricing, hedging, etc.) (91G20) Multistage and repeated games (91A20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Taxation, agency conflicts, and the choice between callable and convertible debt
• A game options approach to the investment problem with convertible debt financing
• Adverse Selection and Convertible Bonds
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• A Two‐Person Game for Pricing Convertible Bonds

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