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An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds
16 references·1 citing·32 second hop
An Empirical Examination of Call Option Values Implicit in U.S. Corporate Bonds (2002)An Empirical Examination of Call Option V…Theory of rational option pricing (2005)Theory of rational option pri…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Does Default Risk in Coupons …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Bond Returns, Liquidity, and Missing Data (1992)Bond Returns, Liquidity, and …Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982)An Equilibrium Model of Bond …Two-State Option Pricing (1979)Two-State Option PricingA continuous time approach to the pricing of bonds (1979)A continuous time approach to…On the term structure of interest rates (1978)On the term structure of inte…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…A contingent-claims valuation of convertible securities (1977)A contingent-claims valuation…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables (2014)The effect of interest rate v…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common Factors Affecting Bond Returns (1991)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Estimating the Price of Default Risk (1999)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)The relation between forward prices and futures prices (1981)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1978On the term structure of interest rates659 cited
  • 1977A contingent-claims valuation of convertible securities491 cited
  • 1979Two-State Option Pricing470 cited
  • 1993Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model407 cited
  • 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency373 cited
  • 1992Bond Returns, Liquidity, and Missing Data

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  • 2014The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables20 cited