dc.contributor.author | Dao, Thi Thanh Binh | |
dc.date.accessioned | 2009-12-01T13:40:44Z | |
dc.date.available | 2009-12-01T13:40:44Z | |
dc.date.issued | 2003 | |
dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/2590 | |
dc.language.iso | en | en |
dc.subject | Equity debt | en |
dc.subject | Corporate debt | en |
dc.subject | Leland | en |
dc.subject.ddc | 332 | en |
dc.subject.classificationjel | G3 | en |
dc.title | A Structural Model with Jump Diffusion Processes | en |
dc.type | Communication / Conférence | |
dc.description.abstracten | In 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.sponsorshipprivate | oui | en |
dc.subject.ddclabel | Economie financière | en |
dc.relation.conftitle | AFFI (Association Française de Finance) | en |
dc.relation.confdate | 2003-12 | |
dc.relation.confcity | Paris | en |
dc.relation.confcountry | France | en |