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

DOI10.1111/J.1467-9965.2011.00488.XMaRDI QIDQ4906514zbMATH OpenOpenAlexFDO

Authors Nan Chen, Min Dai, Xiangwei Wan

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

convertible bondscredit risklate and early callsNash equilibriumstochastic gametax benefitvariational inequalities

Mathematics Subject Classification ID

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

Recommendations

• Taxation, agency conflicts, and the choice between callable and convertible debt
• Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis
• scientific article; zbMATH DE number 2190136
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• PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
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• Arbitrage pricing of defaultable game options with applications to convertible bonds

Cites work

• A Two‐Person Game for Pricing Convertible Bonds
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Convertible bonds in a defaultable diffusion model
• Credit risk: Modelling, valuation and hedging
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Defaultable game options in a hazard process model
• Game options
• GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal capital structure and endogenous default
• Optimal policies of call with notice period requirement
• Optimal Stopping of One-Dimensional Diffusions
• Perpetual Convertible Bonds
• Term Structures of Credit Spreads with Incomplete Accounting Information

Cited in

(13)

• Dynkin's games and Israeli options
• Nonzero-sum stochastic differential games between an impulse controller and a stopper
• Dynkin game of convertible bonds and their optimal strategy
• Game options analysis of the information role of call policies in convertible bonds
• 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
• Dynkin games with Poisson random intervention times
• A Two‐Person Game for Pricing Convertible Bonds
• Variational inequalities arising from credit rating migration with buffer zone
• Callable convertible bonds under liquidity constraints and hybrid priorities
• Nonzero-sum games of optimal stopping for Markov processes
• Taxation, agency conflicts, and the choice between callable and convertible debt
• A game options approach to the investment problem with convertible debt financing

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