跳扩散模型下公司的债务价值与最优资本结构

J4 ›› 2012, Vol. 50 ›› Issue (06): 1115-1118.

跳扩散模型下公司的债务价值与最优资本结构

郭志东, 张诚斌, 李辉来

吉林大学数学学院, 长春 130012

收稿日期:2012-03-16 出版日期:2012-11-26 发布日期:2012-11-26
通讯作者: 张诚斌 E-mail:zhangcb10@mails.jlu.edu.cn

Corporate Debt Value and Optimal Capital Structurein JumpDiffusion Model

GUO Zhidong, ZHANG Chengbin, LI Huilai

College of Mathematics, Jilin University, Changchun 130012, China

Received:2012-03-16 Online:2012-11-26 Published:2012-11-26
Contact: ZHANG Chengbin E-mail:zhangcb10@mails.jlu.edu.cn

摘要/Abstract

摘要：

采用未定权益的方法考察跳扩散模型下公司的债务价值和最优资本结构问题, 得到了公司债务价值、权益价值和总价值的数学表达式, 并讨论了Poisson跳跃对公司最优资本结构的影响.

关键词: 未定权益的方法, 跳扩散模型, 公司债务价值, 最优资本结构

Abstract:

The contingent claim method was used to solve the problems of both the debt value and the optimal capital structure of the corporate in the jumpdiffusion model. By this way, we got the debt value, the equity value and the total value expression of the corporate. Meantime, we discussed the influence of Poisson jump.

Key words: contingent claim method, jumpdiffusion model, corporate debts value, optimal capital structure

中图分类号:

O175.24

郭志东, 张诚斌, 李辉来. 跳扩散模型下公司的债务价值与最优资本结构[J]. J4, 2012, 50(06): 1115-1118.

GUO Zhi-Dong, ZHANG Cheng-Bin, LI Hui-Lai. Corporate Debt Value and Optimal Capital Structurein JumpDiffusion Model[J]. J4, 2012, 50(06): 1115-1118.