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The optimal capital structure of the firm with stable Lévy assets returns

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  • Olivier Le Courtois

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  • François Quittard-Pinon
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10203-007-0079-3
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    Bibliographic Info

    Article provided by Springer in its journal Decisions in Economics and Finance.

    Volume (Year): 31 (2008)
    Issue (Month): 1 (May)
    Pages: 51-72

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    Handle: RePEc:spr:decfin:v:31:y:2008:i:1:p:51-72

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    Web page: http://link.springer.de/link/service/journals/10203/index.htm

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    Related research

    Keywords: Optimal capital structure; Default risk; Stable processes; Credit spreads; C60; G32; 60G52; 91B28;

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    References

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    1. Leland, Hayne E & Toft, Klaus Bjerre, 1996. " Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
    2. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
    3. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
    4. Bianca Hilberink & L.C.G. Rogers, 2002. "Optimal capital structure and endogenous default," Finance and Stochastics, Springer, vol. 6(2), pages 237-263.
    5. Olivier Le Courtois & François Quittard-Pinon, 2006. "Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 11-39, March.
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