Real option, debt maturity and equity default swaps under negotiation
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- 作者：Liu Gana ; b ; ganliu2016@163.com" class="auth_mail" title="E-mail the corresponding author ; Pengfei Luoa ; pengjuv1@163.com" class="auth_mail" title="E-mail the corresponding author ; Zhaojun Yang ; c ; yangzj@sustc.edu.cn" class="auth_mail" title="E-mail the corresponding author
- 关键词：Real options ; Equity default swaps ; Debt maturity ; Negotiation
- 刊名：Finance Research Letters
- 出版年：2016
- 出版时间：August 2016
- 年：2016
- 卷：18
- 期：Complete
- 页码：278-284
- 全文大小：449 K
文摘
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We consider a firm with no assets in place but an investment option.
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The firm enters into fee-for-guarantee swap (FGS) or equity-for-guarantee swap (EGS).
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Debt has a finite maturity and guarantee cost depends on negotiation.
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Guarantee cost increases with funding gap but it may conversely decrease as well.
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The option value decreases first and then increases with debt maturity.