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- W3196488995 abstract "We consider a firm with assets-in-place and a growth option. There is a funding gap for the expansion investment, which is covered by entering into an equity-for-guarantee swap or fee-for-guarantee swap. We explicitly derive all contingent claim prices with the pricing and timing of the growth option taking business cycle and debt maturity into account. For short-term loan, we produce an explanation why Chinese government suggests that guarantee fee rate should be approximately the fraction 50% of the interest rate of bank loans with the same maturity, but for long-term debt, we show this fraction is too small." @default.
- W3196488995 created "2021-09-13" @default.
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- W3196488995 date "2016-04-25" @default.
- W3196488995 modified "2023-09-27" @default.
- W3196488995 title "Growth Option and Debt Maturity with Equity Default Swaps in a Regime-Switching Framework" @default.
- W3196488995 hasPublicationYear "2016" @default.
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