TY - JOUR

T1 - Game-theoretic modeling of market participants’ behavior: case of Russian Adjustable-Rate Bonds with Puts

AU - Okulov, Vitaly L.

AU - Zhilina, Polina S.

N1 - Okulov, V. L. Game-theoretic modeling of market participants' behavior: case of Russian Adjustable-Rate Bonds with Puts / V. L. Okulov, P. S. Zhilina // Contributions to Game Theory and Management,. - 2020. - Volume 13. - P. 347–359.

PY - 2020

Y1 - 2020

N2 - 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.

AB - 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.

KW - dynamic game

KW - optimal decisions

KW - Russian bond market

KW - Adjustable-Rate Bonds with Puts

UR - http://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=cgtm&paperid=374&option_lang=eng

UR - https://www.elibrary.ru/item.asp?id=43973999

M3 - Article

VL - 13

SP - 347

EP - 359

JO - Contributions to Game Theory and Management

JF - Contributions to Game Theory and Management

SN - 2310-2608

ER -