We suppose that the price of a firm follows a nonlinear stochastic delay differential equation. We also assume that any claim whose value depends on firm value and time follows a nonlinear stochastic delay differential equation. Using self-financed strategy and replication we are able to derive a random partial differential equation (RPDE) satisfied by any corporate claim whose value is a function of firm value and time. Under specific final and boundary conditions, we solve the RPDE for the debt value and loan guarantees within a single period and homogeneous class of debt. We then analyze the risk structure of a levered firm. We also evaluate loan guarantees in the presence of more than one debt. Furthermore, we perform numerical simulations for specific companies and compare our results with existing models.
| Identifer | oai:union.ndltd.org:siu.edu/oai:opensiuc.lib.siu.edu:dissertations-1548 |
| Date | 01 August 2012 |
| Creators | Kemajou, Elisabeth |
| Publisher | OpenSIUC |
| Source Sets | Southern Illinois University Carbondale |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Dissertations |
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