Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model
基于Black-Scholes和Merton的期权定价思想，构建或有债权模型分析票息违约风险如何影响公司债券估值，对债券投资者和金融学者有参考价值。
The early work of Black and Scholes, and Merton, made the connection between conventional options and corporate liabilities. The standard textbooks now employ option-pricing arguments in discussing the valuation of stocks, bonds, convertible bonds and warrants; this discussion extends to the various features (such as call and sinking-fund features) that now are appended to these issues. The technique is to recognize that the value of a particular security derives from, or is contingent on, the value of the firm and other economic variables (such as the yield curve for government securities), and then apply the same valuation procedure that one would use to value a call option on some underlying common stock.