The value of a firm evolves through time according to a standard Ito's stochastic differential equation under different financing conditions. The ruin/success probabilities for the firm are evaluated in closed form.
Success or faliure of a firm under different financing policies: a dynamic stochastic model
CIFARELLI, DONATO MICHELE;MASCIANDARO, DONATO;PECCATI, LORENZO;SALSA, SANDRO;TAGLIANI, ALDO
2002
Abstract
The value of a firm evolves through time according to a standard Ito's stochastic differential equation under different financing conditions. The ruin/success probabilities for the firm are evaluated in closed form.
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