A Framework for Valuing Corporate Securities

Jan Ericsson and Joel Reneby ()
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Joel Reneby: Department of Economics and Finance, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden.

No 89, Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: We suggest a methodology for valuing corporate securities that allows the straightforward derivation of closed form solutions for complex capital structure scenarios. The tractability of the approach stems from its modularity - we provide a number of intuitive building blocks that are sufficient for valuation in most typical situations. A\ further advantage of our approach is that it makes economic interpretation far easier than what is typically possible with other approaches such as solving partial differential equations. As examples we consider a corporate coupon bond with discrete payments and debt subject to strategic debt service.

Keywords: Barrier contingent claims; corporate securities (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 1995-12, Revised 1998-12-03
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Published in Applied Mathematical Finance, 1998, pages 143-163.

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Related works:
Journal Article: A framework for valuing corporate securities (1998)
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