The Leland-Toft optimal capital structure model under Poisson observations (Q2211349)

The paper revisits the optimal capital structure model with endogenous bankruptcy, under the novel assumption that the information of the asset value is updated periodically at the jump times of an independent Poisson process. Under a spectrally negative Lévy model, the authors obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies provide an analysis of the sensitivity, with respect to the observation frequency, of the optimal strategies, optimal leverage and credit spreads.