Switching tax structure and payouts in endogenous bankruptcy models

DOI10.1080/17442508.2015.1046874MaRDI QIDQ2803515zbMATHOpenAlexFDO

Authors Flavia Barsotti, Maria Elvira Mancino, Monique Pontier

Publication date 4 May 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2015.1046874

zbMATH Keywords

optimal stoppingstructural modelendogenous defaultcorporate debttax benefitsendogenous bankruptcy models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

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Cites work

• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• General tax structures and the Lévy insurance risk model
• Optimal capital structure and endogenous default
• Optimal strategies in a risky debt context
• Perpetual options and Canadization through fluctuation theory
• Reward functionals, salvage values, and optimal stopping

Cited in

(2)

• Capital structure with firm's net cash payouts
• Dynamic optimal capital structure with regime switching

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