跳过程下的公司证券定价和最优资本结构

发布时间：2018-04-18 04:12

本文选题：双指数跳扩散过程 + 证券定价　；参考：《中国管理科学》2014年08期

【摘要】：由于几何布朗运动不能反映复杂经济背景下的资产价值动态,本文以双指数跳扩散过程作为资产价值过程来研究公司证券定价和最优资本结构问题。本文主要结果是:运用均衡定价的方法给出了公司证券的定价并获得了公司资本价值的解析解。通过比较静态分析揭示了跳风险对企业资本价值、最优资本结构、收益率差价等都具有显著的影响。与几何布朗运动相比,跳风险降低了公司价值和债券价值以及公司最优杠杆率,同时增加了债券的收益率差价和股权价值。
[Abstract]:Because the geometric Brownian motion can not reflect the dynamic of asset value under the complex economic background, the double exponential jump diffusion process is used as the asset value process to study the problem of corporate securities pricing and optimal capital structure.The main results of this paper are as follows: the equilibrium pricing method is used to give the pricing of corporate securities and the analytical solution of the capital value of the company is obtained.Through comparative static analysis, it is revealed that jump risk has significant influence on the capital value, the optimal capital structure, the difference of return rate and so on.Compared with geometric Brownian motion, the jump risk reduces the corporate value and bond value, as well as the optimal leverage ratio, and increases the yield difference and equity value of the bond.
【作者单位】：湖南大学金融与统计学院;
【基金】：国家自然科学基金资助项目(71171078,71221001,71371068)
【分类号】：F830.91;F224

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