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
credit riskendogenous bankruptcyspectrally negative Lévy processesoptimal capital structureterm structure of credit spreads
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Credit risk (91G40)
Related Items (7)
Cites Work
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