同济大学学报（自然科学版）2025，Vol.53Issue(6)：968-975,8.DOI:10.11908/j.issn.0253-374x.23376
跳扩散模型下公司的红利分配和破产问题研究
Jump-diffusion Model-based Study on Dividend Distribution and Bankruptcy of Companies
摘要
Abstract
This research examines the valuation of companies incorporating dividend payments and default risk under the Merton jump-diffusion framework.By integrating Girsanov's measure transformation theory with probabilistic methodologies,we derive analytical solutions for three pivotal metrics:the present enterprise value,survival probability,and discounted dividend value.Numerical experiments are conducted to validate the analytical solutions,with results benchmarked against Monte Carlo simulations,confirming both the accuracy and computational efficiency of the proposed approach.Furthermore,the methodology demonstrates extensibility to the pricing of exotic structured derivatives,particularly double-barrier snowball options and shark-fin instruments requiring dual-threshold modeling.关键词
跳扩散模型/障碍分红/公司价值/生存概率/Girsanov定理Key words
Jump-diffusion Model/Barrier dividends/Corporate value/Survival probability/Girsanov Theory分类
经济学引用本文复制引用
马俊美,吴婧文,韩嘉宇,郭明鹭..跳扩散模型下公司的红利分配和破产问题研究[J].同济大学学报（自然科学版）,2025,53(6):968-975,8.基金项目
国家自然科学基金(12001357) （12001357）
