کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6898740 | 1446114 | 2010 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A simple model of deferred callability in defaultable debt
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Banks and other financial institutions issue hybrid capital as part of their risk capital. Hybrid capital has no maturity, but, similarly to most corporate debt, includes an embedded issuer's call option. To obtain acceptance as risk capital, the first possible exercise date of the embedded call is contractually deferred by several years, generating a protection period. We value the call feature as a European option on perpetual defaultable debt. We do this by first modifying the underlying asset process to incorporate a time-dependent bankruptcy level before the expiration of the embedded option. We identify a call option on debt as a fixed number of put options on a modified asset, which is lognormally distributed, as opposed to the market value of debt. To include the possibility of default before the expiration of the option we apply barrier options results. The formulas are quite general and may be used for valuing both embedded and third-party options. All formulas are developed in the seminal and standard Black-Scholes-Merton model and, thus, standard analytical tools such as 'the greeks', are immediately available.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 207, Issue 3, 16 December 2010, Pages 1350-1357
Journal: European Journal of Operational Research - Volume 207, Issue 3, 16 December 2010, Pages 1350-1357
نویسندگان
Aksel Mjøs, Svein-Arne Persson,