Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models

被引：3

作者：

Mata Lopez, Dante ^{[1
]}

Luis Perez, Jose ^{[1
]}

Yamazaki, Kazutoshi ^{[2
]}

机构：

[1] Ctr Invest Matemt AC, Dept Probabil & Stat, Calle Jalisco S-N, Guanajuato 36240, Mexico

[2] Kansai Univ, Fac Engn Sci, Dept Math, 3-3-35 Yamate Cho, Suita, Osaka 5648680, Japan

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2021年 / 12卷 / 03期

关键词：

credit risk; endogenous bankruptcy; optimal capital structure; spectrally positive Levy processes; RANDOMIZED OBSERVATION PERIODS; POISSON RISK MODEL; LEVY PROCESSES; DIVIDEND STRATEGIES; BARRIER STRATEGY; CREDIT SPREADS; DUAL MODEL; IDENTITIES; AMERICAN; OPTIONS;

D O I：

10.1137/20M1362127

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we study the optimal capital structure model with endogenous bankruptcy when the firm's asset value follows an exponential Le acute accent vy process with positive jumps. In the Leland-Toft framework [J. Finance, 51 (1996), pp. 987-1019], we obtain the optimal bankruptcy barrier in the classical continuous-observation model and the periodic-observation model, recently studied by Palmowski et al. [Finance Stoch, 24 (2020), pp. 1035-1082]. We further consider the two-stage optimization problem of obtaining the optimal capital structure. Detailed numerical experiments are conducted to study the sensitivity of the firm's decision-making with respect to the observation frequency and positive jumps of the asset value.

引用

页码：1112 / 1149

页数：38