Analysis of Optimal Strategies of Convertible Bonds with the Game Theory Analysis of Options

摘要：

In this paper, a zero-sum game of perfect information is constructed based on the game theory analysis of options to analyze the interaction between the optimal call strategy of the issuer and the optimal conversion strategy of the holders. Moreover,the critical determinants including coupon payment, dividend policy, call notice period requirement, hard and soft call constraints on the valuation and optimal strategies of convertible bonds are taken into account. In addition, the finite element method is adopted to solving the pricing model and the projected successive over-relaxation technique is used to handling the American constraint. The numerical results show that these determinants have significant effect on the optimal strategies of convertible bonds, which are important for the pricing and designing of convertible bond.

关键词： Convertible bond Game theory analysis of options Optimal strategy Call notice period

作者: Meng Jianling Gong Pu

作者单位: College of Management, Huazhong University of Science and Technology, Wuhan, 430074, P.R.China

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 759-765

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）