برنامه پویا برای ارزش نهادن به اوراق بهادار شرکت
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|79754||2016||20 صفحه PDF||سفارش دهید||12761 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : European Journal of Operational Research, Volume 249, Issue 2, 1 March 2016, Pages 751–770
We design and implement a dynamic program for valuing corporate securities, seen as derivatives on a firm’s assets, and computing the term structure of yield spreads and default probabilities. Our setting is flexible for it accommodates an extended balance-sheet equality, arbitrary corporate debts, multiple seniority classes, and a reorganization process. This flexibility comes at the expense of a minor loss of efficiency. The analytical approach proposed in the literature is exchanged here for a quasi-analytical approach based on dynamic programming coupled with finite elements. To assess our construction, which shows flexibility and efficiency, we carry out a numerical investigation along with a complete sensitivity analysis.