Switching tax structure and payouts in endogenous bankruptcy models

DOI10.1080/17442508.2015.1046874zbMath1337.91122OpenAlexW2295477755MaRDI QIDQ2803515

Maria Elvira Mancino, Flavia Barsotti, 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

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

Cites Work

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

This page was built for publication: Switching tax structure and payouts in endogenous bankruptcy models