Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
by Tomasz R. Bielecki of the Illinois Institute of Technology,
November 28, 2006
Abstract: In this paper we characterize arbitrage prices of defaultable game options with real-life features (default, dividends, etc.), e.g. convertible bonds, and we consider the decomposition of convertible bonds in an optional and a bond component.
Published in: Quantitative Finance, Vol. 8, No. 8., (December 2008), pp. 795-810.
Previously titled: Arbitrage Pricing of Convertible Securities with Credit Risk