Optimal strategies in a risky debt context

被引：3
作者：
Dorobantu, Diana [1 ]
Mancino, Maria Elvira [2 ]
Pontier, Monique [3 ]
机构：
[1] Univ Lyon 1, Inst Sci Financiere & Assurances, F-69365 Lyon, France
[2] Univ Florence, Dept Math Decis, Florence, Italy
[3] Univ Toulouse, IMT, Toulouse, France
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2009年 / 81卷 / 3-4期
关键词：
corporate debt; optimal capital structure; default; optimal stopping; TERM STRUCTURES; CORPORATE-DEBT; BANKRUPTCY;
D O I：
10.1080/17442500902917433
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper analyses structural models for the evaluation of risky debt following Leland (J. Finance 49 (1994), pp. 1213-1252) with an approach of optimal stopping problem. Moreover, we introduce an investment control parameter and we optimize with respect to the failure threshold and coupon rate. We show that the value of the optimal coupon policy decreases if the strict priority rule is removed.
引用
收藏
页码：269 / 277
页数：9
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