This article examines a new type of exotic options, namely the external extendible options. Such options have two distinct characteristics from the traditional ones: it is possible to extend the maturity and to change the underlying asset as well. We firstly derive a generalized closed-form...

This paper empirically examines the determinants and partial adjustment of capital structure of US and Japanese firms over the period from 1985 to 2009. Consistent with the literature, we firstly find that mostly used firm characteristics such as earnings before interests taxes, depreciation and...

This article aims to examine a new type of exotic option, namely the generalized extendible option. Compared to traditional options, such an option has two characteristics: firstly, its maturity has the possibility to be extended for a given period; secondly, once the option is extended, its...

This research makes two contributions: (i) to price analytically put option and extension premium embedded in a borrower-extendible commitment, and (ii) to compute the 'fair' capital charge that corresponds to the commitment 'true' credit risk. In doing so, the procedure replaces the BIS...

Following the 2008 crisis, Basel III has imposed higher banking capital requirements. To comply with this, banks will have to issue new equity and/or sell some of their assets, which will put pressure on financial markets. To ease such pressure, banks and regulators are wondering whether capital...

Basel III has been agreed to strengthen banks' capital. Raising additional capital in common equity is costly. Banks wonder whether capital can be raised less expensively. To this end, Contingent Convertible (CoCo) bonds have been designed to absorb banks' losses in times of crisis. This paper...

Basel III has been agreed to strengthen banks' capital. Raising additional capital in common equity is costly. Banks wonder whether capital can be raised less expensively. To this end, Contingent Convertible (CoCo) bonds have been designed to absorb banks' losses in times of crisis. This paper...

In this paper, we design a new type of executive stock option, dubbed the quot;indexed stock option with ratchet mechanism and average pricesquot;. We also derive its pricing model and investigate its incentive implications. Like an indexed option, the proposed option links its strike price to a...