摘要翻译：
我们将默顿的资产估值方法推广到存在股权和负债交叉所有权的多个金融公司系统。负债可能包括债务和衍生工具，其资历可能不同。我们导出了在无套利条件下股票价格和回收索赔的方程。证明了一个存在性结果和一个唯一性结果。给出了同时计算所有无套利价格的实例和算法。本文讨论了企业集团在外部持有债权方面资本结构不相关的结果，以及交叉所有权引起的财务杠杆和系统风险。
---
英文标题：
《No-arbitrage pricing under cross-ownership》
---
作者：
Tom Fischer
---
最新提交年份：
2010
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
英文摘要：
  We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and derivatives, can be of differing seniority. We derive equations for the prices of equities and recovery claims under no-arbitrage. An existence result and a uniqueness result are proven. Examples and an algorithm for the simultaneous calculation of all no-arbitrage prices are provided. A result on capital structure irrelevance for groups of firms regarding externally held claims is discussed, as well as financial leverage and systemic risk caused by cross-ownership.
---
PDF链接：
https://arxiv.org/pdf/1005.0768