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タイトル: A game options approach to the investment problem with convertible debt financing
著者: Egami, Masahiko  kyouindb  KAKEN_id
著者名の別形: 江上, 雅彦
キーワード: Convertible bond
Investment decision
Optimal stopping
Game options
発行日: Aug-2010
出版者: Elsevier B.V.
誌名: Journal of Economic Dynamics and Control
巻: 34
号: 8
開始ページ: 1456
終了ページ: 1470
抄録: We consider a firm that operates a single plant and has an expansion option to invest in a new plant with convertible debt financing. This conversion feature introduces another complication not only because of the added conversion timing problem (by the bond holder) but also because the equity holder needs to take future conversion into account when evaluating her expansion/financing decision. We have two main objectives here. We use game options techniques to analyze optimal strategies involved in this convertible debt financed expansion problem. The first goal is to provide a comprehensive framework and procedure for solving the problem in a mathematically tractable way. Secondly, we illustrate our solution method through a concrete example with economic analysis. This includes a comparison with straight bond financing and comparative statics with respect to price volatility and conversion ratio. In this regard, we attempt to clarify how the conversion feature affects the equity holder's investment decisions. Throughout the paper, we study expansion options by viewing a firm's existing operation, bankruptcy threat, conversion decisions and financing decisions all together.
著作権等: © 2010 Elsevier B.V.
This is not the published version. Please cite only the published version. この論文は出版社版でありません。引用の際には出版社版をご確認ご利用ください。
URI: http://hdl.handle.net/2433/126626
DOI(出版社版): 10.1016/j.jedc.2010.04.001
出現コレクション:学術雑誌掲載論文等

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