The authors are grateful for valuable comments from the anonymous referee, the associate editor, and Prof. Ernst Eberlein, the editor. We thank Paul Glasserman, YK Kwok, and Xunyu Zhou for their insightful suggestions. We are also grateful to many other people who offered insights into this work, including seminar participants at Stanford University, University of Oxford, Hong Kong University of Sciences and Technology, City University of Hong Kong, Peking University, and Tongji University, and conference participants at INFORMS 2009 and 2010 annual meetings. The first and third authors are supported by the Hong Kong Research Council through the General Research Fund Scheme (Grant No. CUHK411108). The second author is supported by the NUS RMI grant (No. R-146-000-124-720/646). The third author thanks a start-up fund of Antai College of Economics and Management, Shanghai Jiao Tong University.
A NONZERO-SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
Version of Record online: 22 JUN 2011
© 2012 Wiley Periodicals, Inc.
Volume 23, Issue 1, pages 57–93, January 2013
How to Cite
Chen, N., Dai, M. and Wan, X. (2013), A NONZERO-SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS. Mathematical Finance, 23: 57–93. doi: 10.1111/j.1467-9965.2011.00488.x
- Issue online: 8 JAN 2013
- Version of Record online: 22 JUN 2011
- Manuscript received May 2010; final revision received December 2010.
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