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The Valuation of Corporate Liabilities: Theory and Tests
16 references·2 citing·23 second hop
The Valuation of Corporate Liabilities: Theory and Tests (2001)The Valuation of Corporate Liabilities: T…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…On cox processes and credit risky securities (1998)On cox processes and credit r…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Agency Costs, Risk Management, and Capital Structure (1998)Agency Costs, Risk Management…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A robust test of Merton's structural model for credit risk (2003)A robust test of Merton's str…Estimating Structural Bond Pricing Models (2001)Estimating Structural Bond Pr…Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)The cost of capital, corporation finance and the theory of investment (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1998Agency Costs, Risk Management, and Capital Structure1,495 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited

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  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
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    • 2003A robust test of Merton's structural model for credit risk25 cited
    • 2001Estimating Structural Bond Pricing Models25 cited