Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 81, 2009 - Issue 3-4: Stochastic Analysis
64
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

Optimal strategies in a risky debt context

, &
Pages 269-277 | Received 05 May 2008, Accepted 02 Jul 2008, Published online: 23 Jul 2009
 

Abstract

This paper analyses structural models for the evaluation of risky debt following Leland (J. Finance 49 (1994), pp. 1213–1252) with an approach of optimal stopping problem. Moreover, we introduce an investment control parameter and we optimize with respect to the failure threshold and coupon rate. We show that the value of the optimal coupon policy decreases if the strict priority rule is removed.

AMS Classification:

Acknowledgements

Financial support from INDAM-GNAMPA and MIUR grant 206132713-001 is gratefully acknowledged. We also thank an anonymous referee for his/her remarks.

Notes

Additional information

Notes on contributors

Maria Elvira Mancino

1. 1. [email protected]

Monique Pontier

2. 2. [email protected]

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 61.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 1,425.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.