随机波动率环境下企业内生破产的期权博弈分析

Game Theory Analysis of Options on the Firm's Endogenous Bankruptcy with Stochastic Volatility

将企业破产作为委托人-代理人的博弈问题,应用期权博弈分析的方法讨论此问题.在企业的资产价值的波动率服从快速均值回复OU过程的假设下,导出各博弈方的权益满足的偏微分方程,利用Taylor级数展开及求解一组Poisson方程的技巧,得到各博弈方的价值表达式.进而,讨论各博弈方的破产决策;企业的投资决策;融资决策以及贷方避免在破产时遭受损失的激励合同.最后,总结波动率的随机性对文献结论的影响.

The firm＇s bankruptcy as a game problem of principal-agent is discussed by using the game theory analysis of option. The differential equation which the value of player＇s claim satisfies is derived, assuming the volatility of the value of the firm＇s assets following fast mean-reverting OU process. The expression of player＇s value is got by the formM expansion and solving a group of Poisson equations. Based on the discussions above, bankruptcy decision, investment decision, financing decision and an incentive contract protecting creditor from being subjecting to loss are analysized. At last, the differences between the conclusions in this paper and the Conclusions in the reference[3] are presented.