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endogenous default 1 optimal stopping 1 stochastic volatility 1 structural model 1 volatility time scales 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Barsotti, Flavia 1
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Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 1
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Working Papers - Mathematical Economics 1
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RePEc 1
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Optimal Capital Structure with Endogenous Default and Volatility Risk
Barsotti, Flavia - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012
This paper analyzes the capital structure of a firm in an infinite time horizon following Leland (1994) under the more general hypothesis that the firm’s assets value process belongs to a fairly large class of stochastic volatility models. By applying singular perturbation theory, we fully...
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