The Leland-Toft optimal capital structure model under Poisson observations

DOI10.1007/S00780-020-00431-6zbMath1453.91103arXiv1904.03356OpenAlexW3042932198MaRDI QIDQ2211349

Kazutoshi Yamazaki, Budhi A. Surya, Zbigniew Palmowski, José Luis Pérez Garmendia

Publication date: 11 November 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.03356

zbMATH Keywords

credit riskendogenous bankruptcyspectrally negative Lévy processesoptimal capital structureterm structure of credit spreads

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Credit risk (91G40)

Related Items (7)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ Analytical and numerical solutions to ergodic control problems arising in environmental management ⋮ Optimal Stopping for Exponential Lévy Models with Weighted Discounting ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exit identities for Lévy processes observed at Poisson arrival times
• Meromorphic Lévy processes and their fluctuation identities
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• On optimal periodic dividend strategies in the dual model with diffusion
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
• The excursion measure away from zero for spectrally negative Lévy processes
• On optimal periodic dividend strategies for Lévy risk processes
• American options under periodic exercise opportunities
• Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
• Optimal capital structure and endogenous default
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
• Fluctuations of Lévy processes with applications. Introductory lectures
• Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
• On the optimal dividend problem for a spectrally negative Lévy process
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Russian and American put options under exponential phase-type Lévy models.
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• Exit problem for a spectrally positive process
• Brownian Excursions and Parisian Barrier Options
• First passage times of a jump diffusion process
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Optimal stopping with random intervention times
• OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS
• Randomization and the American Put
• On the Convergence of the Gaver--Stehfest Algorithm

This page was built for publication: The Leland-Toft optimal capital structure model under Poisson observations