OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS

DOI10.1142/S0219024914500137zbMath1302.91190arXiv1109.0897MaRDI QIDQ4979886

Kazutoshi Yamazaki, Budhi A. Surya

Publication date: 19 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.0897

zbMATH Keywords

optimal stoppingcredit riskscale functionsspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (6)

AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Optimality of Two-Parameter Strategies in Stochastic Control ⋮ Inventory Control for Spectrally Positive Lévy Demand Processes ⋮ The Leland-Toft optimal capital structure model under Poisson observations ⋮ Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models ⋮ Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail

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