A Structural Model with Jump Diffusion Processes

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

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