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Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach
Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 4, pp. 412-422
Persistent link: https://www.econbiz.de/10011439173
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A model of chapter 11 bankruptcy reorganization and contingent claims corporate bond pricing
Robinson, Susanne Walzer - 1994
Persistent link: https://www.econbiz.de/10000941661
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Valuation of game swaptions under the generalized Ho-Lee model
Ebina, Aki; Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 6 (2016) 5, pp. 1002-1016
Persistent link: https://www.econbiz.de/10011658160
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Do bondholders lose from junk bond covenant changes?
Kahan, Marcel - In: The journal of business : B 66 (1993) 4, pp. 499-516
Persistent link: https://www.econbiz.de/10001159926
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Reputation, renegotiation, and the choice between bank loans and publicly traded debt
Chemmanur, Thomas J.; Fulghieri, Paolo - 1992
Persistent link: https://www.econbiz.de/10000913637
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A game theory analysis of options : contributions to the theory of financial intermediation in continuous time
Ziegler, Alexandre - 1998
Persistent link: https://www.econbiz.de/10000676454
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Optimal debt service : straight vs. convertible debt
Koziol, Christian - In: Schmalenbach business review : sbr 58 (2006) 2, pp. 124-151
Persistent link: https://www.econbiz.de/10003308774
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On the singularities of an impulsive differential game arising in mathematical finance
Bernhard, Pierre - In: International game theory review 8 (2006) 2, pp. 219-229
Persistent link: https://www.econbiz.de/10003347413
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Partial differential equations in economics and finance
Basov, Suran - 2007
Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …
Persistent link: https://www.econbiz.de/10003429606
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Illiquidity and derivative valuation
Horst, Ulrich; Naujokat, Felix - 2010
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...
Persistent link: https://www.econbiz.de/10003952859