In debt financing, existence of information asymmetry on the firm quality between the firm management and bond investors may lead to significant adverse selection costs. We develop the two-stage sequential dynamic two-person game option models to analyze the market signaling role of the callable...

We construct a real options signaling game model to analyze the impact of asymmetric information on the dynamic acquisition decision made by the aggressive acquirer firm and passive target firm in the takeover terms and timing. The target firm is assumed to have partial information on the...

Unlike conventional convertible bonds, contingent convertible (CoCo) bonds are converted into equity shares of the issuing bank subject to certain trigger mechanisms (accounting and/or regulatory trigger) when the issuing bank is under financial non-viable state. We consider pricing of these...

Using real options game models, we consider the characterization of strategic equilibria associated with an asymmetric R&D race between an incumbent firm and an entrant firm in the development of a new innovative product under market and technological uncertainties. The random arrival time of...

We consider the stochastic control model with finite time horizon for a mixed duopoly R&D (Research and Development) race between the profit-maximizing private firm and welfare maximizing public firm. In our two-firm stochastic control R&D race model, the stochastic control variable is taken to...

This paper analyzes preemptive patenting in a two-stage real options game where an incumbent firm competes with a potential entrant firm for the patent of a substitute product in a product market with profit flow uncertainty. The incumbent suffers loss of monopoly in the product market if the...

Using the real options game approach, we analyze the two-stage preemptive patent-investment race between an incumbent and a challenger (new entrant) in a product market with profit flow uncertainty. The challenger can gain entry into the monopolized product market dominated by the incumbent by...

In this study, we develop a static signaling game model to examine the problem of a firm raising funds externally to finance an investment project when there is an information asymmetry between the firm and its outside investors, and the life-span of the investment project is very short....

1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete...