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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。
Because geometric Brownian motion can not reflect the dynamic changes of asset value under the background of complex economy, this paper studies the issue of securities pricing and optimal capital structure by using the process of double exponential jump-diffusion as the process of asset value. The main result of this paper is: Using the method of equilibrium pricing, we give the pricing of corporate securities and get an analytic solution of corporate capital value. By comparative static analysis, it is revealed that jump risk has a significant impact on the value of the firm’s capital, the optimal capital structure, and the yield spread. Compared with the geometric Brownian motion, jump risk reduces the company value and bond value as well as the company’s optimal leverage ratio, while increasing the bond yield spread and equity value.