Arbitrage pricing of defaultable game options with applications to convertible bonds

Quantitative Finance

Volumn 8, Issue 8, 2008, Pages 795-810

  Bielecki, Tomasz R ^a   Crepey, Stéphane ^b   Jeanblanc, Monique ^c   Rutkowski, Marek ^d  

^a Illinois Institute of Technology   (United States)

^b UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

^d WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Convertible bonds; Convertible securities; Defaultable game options; Semimartingale market

Indexed keywords

EID: 57749085453     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701401083     Document Type: Article

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