跳过程下的公司证券定价和最优资本结构

中国管理科学 ›› 2014, Vol. 22 ›› Issue (8): 29-36.

跳过程下的公司证券定价和最优资本结构

向华, 杨招军

湖南大学金融与统计学院, 湖南长沙 410079

收稿日期:2012-09-15 修回日期:2013-03-07 出版日期:2014-08-20 发布日期:2014-08-23
作者简介:向华（1974- ），男（汉族），湖南洪江人，湖南大学金融与统计学院，博士生，研究方向：金融工程.
基金资助:
国家自然科学基金资助项目（71171078，71221001，71371068）

The Pricing of the Corporate Securities and the Optimal Capital Structure Under a Jump Diffusion Process

XIANG Hua, YANG Zhao-jun

College of Finance and Statistics, Hunan University, Changsha 410079, China

Received:2012-09-15 Revised:2013-03-07 Online:2014-08-20 Published:2014-08-23

摘要/Abstract

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。

关键词: 双指数跳扩散过程, 证券定价, 最优资本结构, 跳风险

Abstract: Taking the fact that geometric Brownian motion can't capture the dynamics of the asset value in a complicate environment, it is assumed that the asset value is driven by a double exponential jump diffusion process. In this paper, the pricing of corporate securities and the problem of optimal capital structure are studied. The main contributions are summed up as follows.Firstly, based on equilibrium pricing, the price of corporate securities is provided and the closed-form expressions of the value of securities are obtained. In addition, the comparative static analysis is presented, which indicates that the jump risk has a significant effect on the value of capital, optimal capital structure, yield spread. Compared with geometric Brownian motion, the jump risk reduces firm value, debt vale and the optimal leverage, but it increases the yield spread and the value of equity.

Key words: double exponential jump diffusion process, pricing of corporate securities, optimal capital structure, jump risk

中图分类号:

F830

向华, 杨招军. 跳过程下的公司证券定价和最优资本结构[J]. 中国管理科学, 2014, 22(8): 29-36.

XIANG Hua, YANG Zhao-jun. The Pricing of the Corporate Securities and the Optimal Capital Structure Under a Jump Diffusion Process[J]. Chinese Journal of Management Science, 2014, 22(8): 29-36.

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