Endogenous default and pricing of the corporate debt

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 11 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 231-253 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:An overviewEndogenous defaultEquity of a firm near bankruptcy level and the yield spread for junk bondsThe case of a solvent firmEndogenous debt level and endogenous leverageConclusionAuxiliary resultsProof of Eq. (11.36)–Eq. (11.38)Proof of Eq. (11.45)–Eq. (11.46)

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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