
A Structural Model with Jump Diffusion Processes
Dao, Thi Thanh Binh (2003), A Structural Model with Jump Diffusion Processes, AFFI (Association Française de Finance), 2003-12, Paris, France
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Communication / ConférenceDate
2003Conference title
AFFI (Association Française de Finance)Conference date
2003-12Conference city
ParisConference country
FranceMetadata
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Dao, Thi Thanh BinhAbstract (EN)
In this paper, we extend the framework of Leland’s 94 by examining corporate debt, equity and firm values with jump difffusion processes. We choose two kinds of jumps such as the uniform and double exponential jumps to modelise the distribution of the log jump sizes. By this choice, we are able to derive closed-form results in both models for equity, debt and firm values. Our results have the same forms as those of Leland’s 94. However, in both our models, the spreads are modified significantly in comparison with those of Leland due to jumps’ assumption.Subjects / Keywords
Equity debt; Corporate debt; LelandRelated items
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