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,(,430074):,,;,.,,;,,.:;;;:F224.0;F272.3:A:100729807(2002)05200382060,,,,.,,.,,.,,.,???,Merton[1].,,,.,Merton.,Merton..Franks2Torous,[2];Longstaff2Schwartz,[3].2,,.Bergman2Callen[4],Anderson2Sundaresan[5].,55200210JOURNALOFMANAGEMENTSCIENCESINCHINAVol.5No.5Oct.,2002:20010615;:20020722.:(70071012).:(1968-),,,..Leland,,,,[6].Mella2BarralPerraudin,,[7].,.[8],,.([8-12]),.1(frictionless)(riskneutral),r.,,.,;,.,2.(),,.1,w,p.,,dpt=Lptdt+RptdBt(1),LR,Lr,Bt().bS,(1-S)(pt-w-b),;,,,pc,,,,..,,,:C1pc+C2.yt=logptöpc,Itoddyt=(L-R2ö2)dt+RdBtT=inf{sûys=0},Tpc.yt0,T,[13][14]:Et[e-r(T-t)]=(ptöpc)K:K=R-2[-(L-R2ö2)-((r-R2ö2)2+2R2r)1ö2]0,Et[õ].ptöpcK.,,V(pt)=Et{texp[-r(s-t)](1-S)õ(ps-w-b)ds}=(1-S)[ptö(r-L)-(w+b)ör]D(pt)=Et{tbexp[-r(s-t)]ds}=bör,,,,,,ptpc,V(ptûpc)=Et{t(1-S)õ(ps-w-b)e-r(s-t)I{sT}ds}935:Lr,r-L(convenience):,.D(ptûpc)=Et{tbe-r(s-t)IsTds+(C1pc+C2)e-r(T-t)},I{.}.[15]3.4.11,V(ptûpc)=Et{t(1-S)(ps-w-b)e-r(s-t)ds}-Et{T(1-S)(ps-w-b)e-r(s-t)ds}=(1-S)pr-L-w+br-Etõ{e-r(T-t)ET{T(1-S)(ps-w-b)e-r(s-T)ds}}=(1-S)pr-L-w+br-[T(1-S)(pceL(s-T)-w-b)e-r(s-T)ds]õEt{e-r(T-t)}=(1-S)ptr-L-w+br+(1-S)w+br-pcr-LptpcK(2)D(ptûpc)=Ettbe-r(s-t)ds-Ete-r(T-t)ETTbe-r(s-T)ds+(C1pc+C2)Et{e-r(T-t)}=br+C1pc+C2-brptpcK(3)(2)(3),1,2.pc,(2)(3)..,(),.,,.pd,,.0K-1V(ptûpc)pc,pd:5V(ptûpd)5pd=0(4)pd=-K1-Kõw+brõ(r-L)(5),..W(ptûpc),,W(ptûpc)=V(ptûpc)+D(ptûpc)=(1-S)ptr-L-wr+brS+[(1-S)wr-pcr-L+C1pc+C2-brS]ptpcK(6)0K-1,W(ptûpc)pc,pw:5W(ptûpw)5pw=0(7):pw=-K1-KõrC2+w-(w+b)S(1-S)-C1(r-L)õr-Lr(8)pw0,0C11-rr-L(1-S)w-bSrC2.,()pdpw,.,pdpw,W(ptûpd)W(ptûpw).,()(agencycost),W(ptûpw)-W(ptûpd)(9)pdpw,,b=rC2+C1(r-L)w1-C1(r-L)(10),bb,pdpw;bb,pdpw.:1,b,04200210,pd=pwW(ptûpd)=W(ptûpw);b,,pdpwW(ptûpd)W(ptûpw);b,,pdpwW(ptûpd)W(ptûpw)2,,(),..,bb,.,,,.,,(offer),,;,..,,,,pcs.pcs,,,,;,,,,,.,p3spcs;s(pt),C(pt)L(pt).ptp3ss(pt)=b,,L(pt)=br+[C1p3s+C2-br](ptp3s)K(11)ptp3s,s(pt)L(pt)=C1pt+C2(12)(),R22p2L(p)+LpL(p)-rL(p)+s(p)=0(13)(12)(13)ptp3ss(pt)=C1(r-L)pt+rC2(14)pt=p3s,(11)(12)(smoothpasting)([16]),L(pt)ûpt=p3s=C1,p3s=-K1-Kõbr-C2C1(15)p3s0,C2br.(11)(12),p3s,pcs.,,,,:2(bb),s(p),.:s(p)=0ppcsC1(r-L)pt+rC2pcspp3sbp3sp3:,,().,145:,,,,,.,;,,,,.,,pw,c,,V(pwûpdpw)=c(16)D(pwûpdpw)=C1pw+C2-c(17)pt=pw,(2),c=(1-S)pwr-L-w+br+(1-S)w+br-pwr-LpwpdK(18)(18),,.ptpw,,V(ptûpdpw)=(1-S)ptr-L-w+br+(1-S)w+br-pcr-L+cptpwK(19)D(ptûpdpw)=br+(C1pc+C2-c-br)(ptpw)K(20),:3(bb),,c,.4,,,.:(1),;(2)(b),(moralhazard),;(3)(bb),,();(4)(bb),,;(5),.,,,.,,.,.,,,;,,,24200210,.().:[1]MertonR.Onthepricingofcorporatedebt:Theriskstructureofinterestrates[J].JournalofFinance,1974,29:449-469[2]FranksJR,TorousWN.AnempiricalinvestigationofU.S.firmsrenegotiations[J].JournalofFinance,1989,44:747-769[3]LonstaffFA,SchwartzES.Asimpleapproachtovaluingriskydebt[J].JournalofFinance,1995,50:789-821[4]Bergman,YZ,CallenJL.Opportunisticunderinvestmentindebtrenegotiationsandcapitalstructure[J].JournalofFinancialEconomics,1991,29:137-171[5]AndersonR,SundaresanS.Designandvaluationofdebtcontracts[J].ReviewofFinancialStudies,1997,9:37-68[6]LelandHE.Agencycosts,riskmanagement,andcapitalstructure[J].JournalofFinance,1998,53:1213-1248[7]Mella2BarralP,PerraudinW.Strategicdebtservice[J].JournalofFinance,1997,52:531-556[8],.:[J].,2001,10(4):320-324[9],.:[J].,1998,13(3):8-12[10],.[J].,2001,16(1):17-23[11],.[J].,2001,4(1):138-144[12]..1995,[M].:,2000[13]DixitAK,PindyckRS.InvestmentunderUncertainty[M].Princeton:PrincetonUniversityPress,1994.315-316[14]KarlinS,TaylorH.AFirstCourseinStochasticProcess[M].2ndEd.NewYork:AcademicPress,1976.355-365[15]HarrisonJM.BrownianMotionandStochasticFlowSystem[M].NewYork:JohnWileyandSons,1985.47[16]DumasB.Supercontactandrelatedoptimalityconditions[J].JournalofEconomicDynamicsandControl,1991,15:675-695StudyonrealoptionapproachofcorporatedebtreorganizationJIANZhi2hong,LIChu2linDepartmentofMathematics,HuazhongUniversityofScienceandTechnology,Wuhan430074,ChinaAbstract:Consideringtheexistenceofcorporateincometax,weanalyzethedecision2makingofcor2poratebankruptcyanddebtreorganizationinarisk2neutralframework,whilecorporatedefaultisen2dogenouslydeterminedbymaximizingthevalueofequityclaims.Withstandarddebtcontractandun2derabsolutepriorityrule,thisusuallyleadsaleveredfirmtobeearlyorlatelyliquidatedwithlossofvalue.Butifthestrategicdefaultordeviationfromabsolutepriorityruleisallowed,thedecisionthatmaximizesvalueofequitywillbeconsistentwithonethatmaximizescorporatevalue.Inthispaper,wedemonstratethatdebtreorganizationorcreditorsconcessionessentiallyenhancesthemarketvalueofthedebt,asitenablescreditorsordebtorstoavoidill2timedliquidation.Keywords:corporatebankruptcy;debtreorganization;strategicdefault;creditorconcession345: