跳扩散模型下具有违约资产重组公司债券的定价

为了增强公司应对突发事件和处理资产重组的能力,在公司资产价值演化服从跳幅度为-1的跳扩散模型下,基于债券股票互换的违约资产重组模式,运用最优停时技巧和结构化方法,研究了永久公司债券的定价问题和最佳资产结构问题.采用微分方程方法,获得了公司债券,股票价值和公司总价值定价的显式表达式,以及最佳违约边界和最佳杠杆比率的显式表达式.最后,通过数值分析,解释跳跃强度所引发的金融现象.

Pricing of Perpetual Corporate Debt with Default Capital Reorganization in Jump-diffusion Model

In order to improve the ability of a company to deal with emergent events and a capital reorganization, based on the default capital reorganization scheme of debt-equity swap, we investigate the pricing problem of the perpetual corporate debt and the optimal capital structure under the framework of a jump-diffusion model with -1 jump size. Problems are solved by applying the optimal stopping technique and a structural method. The closed-form formulas for the perpetual corporate debt, the equity and the total value of corporate are obtained by a differential equation method, moreover, the optimal default boundary and the optimal leverage ratio are also given. Finally, a numerical analysis is conducted to reveal the financial phenomenon caused by the jump intensity.