欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
考虑企业基于混合担保模式筹集投资成本的最优投融资问题．解析地给出了公司证券的价格和担保契约设计参数，解析地给出了企业最优的投资时机和债务融资数量．数值分析表明：混合担保中的年固定担保费比重增加会加快投资并降低债务融资数量；项目波动率的上升会延迟投资，但它对企业债务融资数量和担保公司获得的股权数量具有两种互为相反的影响，企业债务融资数量和担保公司获得的股权数量是项目波动率的凹函数．
英文摘要：
This paper considers the optimal investment and financing policies for an entrepreneur entering into a mixed guarantee agreement to obtain a bank loan. It derives closed-form results for the pricing of corporate securities and guarantee costs, for the pricing and timing of the option to invest and for an optimal bond coupon. By numerical analysis, It is shown that a growth of the fixed annual payment to the insurer will accelerate investment and reduce the amount of debt. A higher project volatility leads to a later investment. However, the volatility has two opposite impacts on the amount of debt and the fraction of equity allocated to an insurer and both of them are a concave function of the volatility.
同期刊论文项目
同项目期刊论文
Learning, Pricing, Timing and Hedging of the Option to Invest for Perpetual Cash Flows with Idiosync
A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Fu
The expected discounted penalty function for two classes of risk processes perturbed by diffusion wi
Cross-correlations between WTI crude oil market and U.S. stock market: A perspective from econophysi
Utility-Based Pricing, Timing and Hedging of an American Call Option under an Incomplete Market with
Almost Everywhere Convergence of Riesz Means Related to Schrodinger Operator with Constan Magnetic F
Correlation structure and dynamics of international real estate securities markets: A network perspe
Optimal Proportional Reinsurance and Investment Problem with Constraints on Risk Control in a Genera
On the expected discounted penalty function for the classic risk model with potentially delayed clai
期刊信息
位置：