Analyzing interactive call, default, and conversion policies for corporate bonds
研究了债券发行人和持有人因嵌入式期权而做出的交互赎回与转换决策时机，构建了风险中性估值博弈模型，发现转换和赎回期权会加速对方决策，额外回售期权进一步加速赎回和转换，实证结果支持早期赎回和转换现象的解释。
Abstract This paper studies the timings of interactive call and conversion decisions made by bond issuers and holders, respectively, due to the presence of different embedded options. We develop a risk‐neutral‐valuation‐based game option model featuring bondholder–stockholder conflicts of interest. The presence of conversion (call) options possessed by the bondholders (issuers) accelerates the call (conversion) decisions. Granting bondholders additional put options further hastens call decisions and hence conversion decisions in response to call accelerations. Our empirical studies are consistent with past call policy research and support our interactive exercise analyses that explain the rationales behind early call and conversion phenomena.