The Leland–Toft optimal capital structure model under Poisson observations
重新研究了Leland和Toft的内生破产最优资本结构模型，假设股东仅在泊松过程跳跃时刻更新资产价值信息，在谱负Lévy模型下得到了最优破产策略和资本结构，并分析了观测频率对策略、杠杆和信用利差的影响。
Abstract This paper revisits the optimal capital structure model with endogenous bankruptcy, first studied by Leland (J. Finance 49:1213–1252, 1994) and Leland and Toft (J. Finance 51:987–1019, 1996). Unlike in the standard case where shareholders continuously observe the asset value and bankruptcy is executed instantaneously without delay, the information of the asset value is assumed to be updated periodically at the jump times of an independent Poisson process. Under a spectrally negative Lévy model, we obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies provide an analysis of the sensitivity, with respect to the observation frequency, of the optimal strategies, optimal leverage and credit spreads.