A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
DOI10.1111/J.1467-9965.2011.00488.XzbMATH Open1282.91065OpenAlexW2170536262MaRDI QIDQ4906514FDOQ4906514
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
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Nash equilibriumstochastic gamevariational inequalitiescredit riskconvertible bondslate and early callstax benefit
Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Stochastic games, stochastic differential games (91A15) Other game-theoretic models (91A40) Financial applications of other theories (91G80)
Cites Work
- On the optimal stopping problem for one-dimensional diffusions.
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- Credit risk: Modelling, valuation and hedging
- Term Structures of Credit Spreads with Incomplete Accounting Information
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
- Game options
- Optimal capital structure and endogenous default
- Arbitrage pricing of defaultable game options with applications to convertible bonds
- Optimal Stopping of One-Dimensional Diffusions
- Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
- Perpetual Convertible Bonds
- A Two‐Person Game for Pricing Convertible Bonds
- Defaultable game options in a hazard process model
- Convertible bonds in a defaultable diffusion model
- Optimal policies of call with notice period requirement
Cited In (13)
- A Two‐Person Game for Pricing Convertible Bonds
- Taxation, agency conflicts, and the choice between callable and convertible debt
- Dynkin games with Poisson random intervention times
- Nonzero-sum stochastic differential games between an impulse controller and a stopper
- Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
- Dynkin game of convertible bonds and their optimal strategy
- Nonzero-sum games of optimal stopping for Markov processes
- Variational inequalities arising from credit rating migration with buffer zone
- Dynkin's games and Israeli options
- A game options approach to the investment problem with convertible debt financing
- A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
- Callable convertible bonds under liquidity constraints and hybrid priorities
- Game options analysis of the information role of call policies in convertible bonds
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