Investment and financing for SMEs with a partial guarantee and jump risk

DOI10.1016/j.ejor.2015.09.032zbMath1346.91256OpenAlexW3124347581WikidataQ58147780 ScholiaQ58147780MaRDI QIDQ321131

Zhaojun Yang, Huamao Wang, Pengfei Luo

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/44795/7/real-option-jump%20AAM%201-s2.0-S0377221715008747-main.pdf

zbMATH Keywords

investment analysisreal optionsfinancedouble exponential jump-diffusion processguarantee level

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (9)

Investment, agency conflicts, debt maturity, and loan guarantees by negotiation ⋮ The supplier's optimal guarantee policy in newsvendor finance ⋮ Investment, consumption smoothing with credit guarantee and adverse selection ⋮ A study on the pricing model for 3PL of inventory financing ⋮ The interaction of debt financing, cash grants and the optimal investment policy under uncertainty ⋮ REAL OPTION SIGNALING GAMES OF DEBT FINANCING USING EQUITY GUARANTEE SWAPS UNDER ASYMMETRIC INFORMATION ⋮ Selling to the newsvendor through debt-shared bank financing ⋮ Model risk in real option valuation ⋮ Structural recovery of face value at default

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Optimal capital structure with an equity-for-guarantee swap
• Investment timing, debt structure, and financing constraints
• Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• First passage times of a jump diffusion process
• Option pricing when underlying stock returns are discontinuous

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