Abstract: In order to better deal with the risk of the asset jump and the strategy of bank-ruptcy reorganization faced by the company, based on a structural method and the optimal stopping technique, this paper considers the pricing problem of the perpetual corporate debt with the bankruptcy reorganization scheme of debt-equity swap in a double jump-diffusion model. Pricing analytical solutions of the perpetual corporate debt and the equity are obtained by a differential equation method. Furthermore, this paper also presents a closed-form solution of the optimal bankruptcy boundary and a nonlinear equation satisfied by the optimal coupon. Finally, the numerical results show that more volatile the company's asset value is, more income equityholders can be gotten from the turbulent market, but less popular the corporate debt will be with investors, lower the value of corporate debt is and lower the optimal leverage ratio is.

Key words: structural method, double exponential jump-diffusion model, bankruptcy reorganization, corporate debt, optimal bankruptcy boundary