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

2013 ◽  
Author(s):  
Chi Man Leung ◽  
Nan Chen ◽  
Yue Kuen Kwok
Keyword(s):  
Convertible Bonds ◽  
Game Options

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

2015 ◽  
Vol 22 (4) ◽  
pp. 297-335
Author(s):  
Chi Man Leung ◽  
Nan Chen ◽  
Yue Kuen Kwok
Keyword(s):  
Convertible Bonds ◽  
Game Options

scholarly journals Do Callable Convertibles Support The Investment Process Of A Company? An Analysis Of The World Market Of Hybrid Debt

2017 ◽  
Vol 20 (2) ◽  
pp. 5-19
Author(s):  
Damian Kaźmierczak
Keyword(s):  
United States ◽  
The United States ◽  
World Market ◽  
Convertible Bonds ◽  
Investment Projects ◽  
Service Companies ◽  
The World ◽  
Investment Process ◽  
A Company

Using a sample of 1,705 convertible bonds issued by manufacturing and service companies from the United States (1,138 issues); Europe (270); and Asia (297) between 2004 and 2014 this paper investigates the role of callable convertibles in the corporate investment process. This research shows first that callable convertibles are used to finance investment projects particularly by American firms which may exercise new investment options to improve poor financial performance. Secondly, the same strategy may be followed by European companies, but they seem not to carry out investments on as large a scale as American firms. Thirdly, the research results do not provide evidence that Asian enterprises use callable convertibles for investment purposes: they likely use these instruments for different reasons.

Arbitrage pricing of defaultable game options with applications to convertible bonds

2008 ◽  
Vol 8 (8) ◽  
pp. 795-810 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Stéphane Crépey ◽  
Monique Jeanblanc ◽  
Marek Rutkowski
Keyword(s):  
Convertible Bonds ◽  
Arbitrage Pricing ◽  
Game Options

scholarly journals Valuation of Game Options in Jump-Diffusion Model and with Applications to Convertible Bonds

2009 ◽  
Vol 2009 ◽  
pp. 1-17 ◽  
Author(s):  
Lei Wang ◽  
Zhiming Jin
Keyword(s):  
Free Boundary ◽  
Diffusion Process ◽  
Stock Price ◽  
Free Boundary Problems ◽  
Jump Diffusion ◽  
Convertible Bonds ◽  
Simple Application ◽  
Boundary Problems ◽  
Game Options ◽  
Jump Diffusion Model

Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity. In this paper, we consider some type of game options and obtain explicit expressions through solving Stefan(free boundary) problems under condition that the stock price is driven by some jump-diffusion process. Finally, we give a simple application about convertible bonds.

Monte Carlo Bounds for Game Options Including Convertible Bonds

2011 ◽  
Vol 57 (5) ◽  
pp. 960-974 ◽  
Author(s):  
Christopher Beveridge ◽  
Mark Joshi
Keyword(s):  
Monte Carlo ◽  
Convertible Bonds ◽  
Game Options
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