摘要
借助于美国破产保护法第十一章,违约公司获得一个额外的违约观察期过程,通过纳什均衡原理对股东和债权人的利益进行重新分配,利用巴黎型期权的定价思想来刻画具有这种违约观察期过程的股票与公司债券的定价模型,并从股东权益最大化,把股票的定价模型归结为一个自由边界问题,进而通过偏微分方程方法(PDE)推出股票与公司债券价格的闭合表达式和最佳违约边界解的显式表达式;同时文章还对公司的最优杠杆,清算概率和信用利差进行讨论.
Based on Chapter 11 of the U.S Bankruptcy Code, default company is endowed extra with a default observation period during which the values of equity and debt are allot renewedly according to Nash equilibrium principle. Then the pricing models of corporate debt and equity are depicted by using pricing thought and method of Parisian-type option. Furthermore, the pricing problem of equity is transformed to a free boundary problem by use of free boundary condition which is proved strictly. At last, the pricing formulas of corporate debt and equity, and the corresponding optimal default threshold in the closed form are all obtained by PDE. In addition, optimal leverage, probability of liquidation and credit spread are discussed.
出处
《应用数学学报》
CSCD
北大核心
2008年第6期1013-1034,共22页
Acta Mathematicae Applicatae Sinica
基金
国家重点基础研究发展计划(973计划)(2007CB814903)
国家自然科学基金(10471106
10671103)
福建省省属高校基金(2008F5050)资助项目
关键词
公司债券
最佳违约边界
违约观察期
美国破产保护法
corporate debt
optimal default threshold
default observation period
the U.S bankruptcy code
