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dc.contributor.authorDao, Thi Thanh Binh
dc.date.accessioned2009-12-01T13:40:44Z
dc.date.available2009-12-01T13:40:44Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2590
dc.language.isoenen
dc.subjectEquity debten
dc.subjectCorporate debten
dc.subjectLelanden
dc.subject.ddc332en
dc.subject.classificationjelG3en
dc.titleA Structural Model with Jump Diffusion Processesen
dc.typeCommunication / Conférence
dc.description.abstractenIn this paper, we extend the framework of Leland’s 94 by examining corporate debt, equity and firm values with jump difffusion processes. We choose two kinds of jumps such as the uniform and double exponential jumps to modelise the distribution of the log jump sizes. By this choice, we are able to derive closed-form results in both models for equity, debt and firm values. Our results have the same forms as those of Leland’s 94. However, in both our models, the spreads are modified significantly in comparison with those of Leland due to jumps’ assumption.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleAFFI (Association Française de Finance)en
dc.relation.confdate2003-12
dc.relation.confcityParisen
dc.relation.confcountryFranceen


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