Extend the Debt as It Is Not Deeply Out-of-the-Money

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

DC Field	Value	Language
dc.contributor	金融系
dc.creator	Chen, Son-Nan;Lee, Shyan-Yuan;Tsai, Hui-Hwang;Wu, Wei-Hsiung
dc.creator	陳松男	zh_TW
dc.date	2008
dc.date.accessioned	2015-10-06T07:49:01Z	-
dc.date.available	2015-10-06T07:49:01Z	-
dc.date.issued	2015-10-06T07:49:01Z	-
dc.identifier.uri	http://nccur.lib.nccu.edu.tw/handle/140.119/78870	-
dc.description.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.
dc.format.extent	159 bytes	-
dc.format.mimetype	text/html	-
dc.relation	Economics Bulletin, 7(16), 1-6
dc.subject	Hazard;Moral Hazard;Option Pricing;Options
dc.title	Extend the Debt as It Is Not Deeply Out-of-the-Money
dc.type	article	en
item.fulltext	With Fulltext	-
item.cerifentitytype	Publications	-
item.openairecristype	http://purl.org/coar/resource_type/c_18cf	-
item.grantfulltext	restricted	-
item.openairetype	article	-
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