论文标题
积极跳跃资产对内源性破产和最佳资本结构的影响：连续和周期性观察模型
Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: Continuous- and periodic-observation models
论文作者
论文摘要
在本文中，当公司的资产价值遵循指数级别的流程以积极的跃升为单位时，我们研究了具有内源性破产的最佳资本结构模型。在Leland-Toft Framework \ Cite {Lelandtoft96}中，我们在经典的连续观察模型和周期性观察模型中获得了最佳破产障碍，该模型最近由Palmowski et al。我们进一步考虑获得最佳资本结构的两阶段优化问题。进行了详细的数值实验，以研究公司决策对资产价值的观察频率和积极跳跃的敏感性。
In this paper, we study the optimal capital structure model with endogenous bankruptcy when the firm's asset value follows an exponential Lévy process with positive jumps. In the Leland-Toft framework \cite{LelandToft96}, we obtain the optimal bankruptcy barrier in the classical continuous-observation model and the periodic-observation model, recently studied by Palmowski et al.\ \cite{palmowski2019leland}. 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.
