search query: @author Anderson, R. W. / total: 6
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| Author: | Anderson, R. W. Sundaresan, S. Tychon, P. |
| Title: | Strategic analysis of contingent claims |
| Journal: | European Economic Review
1996 : APR, VOL. 40:3-5, p. 871-881 |
| Index terms: | CORPORATE FINANCE SECURITY BANKRUPTCY MODELS GAMES |
| Language: | eng |
| Abstract: | Traditional contingent claims analysis provides an elegant and complete model of the financing of the dynamic firm but has difficulty fitting the observations in the market. This is because of its failure to model financial distress realistically. The paper surveys recent efforts to address this issue by deriving valuation formulae from the analysis of non-cooperative equilibria in extensive form games. The paper illustrates how a simple static bankruptcy model can be incorporated in a dynamic game. The paper also shows how to find the continuous time equivalent of this game. |
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