title: Game-theoretic modeling of market participants' behavior: case of Russian Adjustable-Rate Bonds with Puts
metadata.name: dc.contributor.author
metadata.value: Okulov, Vitaly L.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Zhilina, Polina S.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2020-11-19T09:53:27Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2020-11-19T09:53:27Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2020-09-01
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/20706
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Adjustable-Rate Bonds with Puts (ARBP), frequently issued by the Russian companies, give the issuer the right to arbitrarily change the coupon payments on the bonds at certain moments. But at these moments, the investor has the right to force the issuer to redeem the bonds at a face value. These reciprocal actions of the issuer and investors can be considered as a dynamic game. We suggest a game-theoretic model that allow to determine the optimal decisions of the players. These decisions are compared with empirical data.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: en
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St. Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Contributions to Game Theory and Management, vol. XIII, 347–359;
metadata.lang: -
metadata.name: dc.title
metadata.value: Game-theoretic modeling of market participants' behavior: case of Russian Adjustable-Rate Bonds with Puts
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: Okulov_Zhilina(347-359).pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/20706/1/Okulov_Zhilina%28347-359%29.pdf
resources.format: Adobe PDF
resources.size: 460,6 kB