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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/78870

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78870

Title:	Extend the Debt as It Is Not Deeply Out-of-the-Money
Authors:	Chen, Son-Nan;Lee, Shyan-Yuan;Tsai, Hui-Hwang;Wu, Wei-Hsiung 陳松男
Contributors:	金融系
Keywords:	Hazard;Moral Hazard;Option Pricing;Options
Date:	2008
Issue Date:	2015-10-06 15:49:01 (UTC+8)
Abstract:	In this paper, we modify the extendible debts model proposed in Longstaff (1990) to help relieve the moral hazard problem induced in the original model. In Longstaff`s model, extending the maturity of the defaulted debts gives the borrower an incentive to default even if the borrower is insolvent. In this paper, we argue that the debt should not be extended if it is defaulted severely. We have shown that the extendible debt valuation can be obtained by the compound option pricing besides the PDE approach. We also have derived the fair interest rate of the extendible debts in this paper.
Relation:	Economics Bulletin, 7(16), 1-6
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

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