Bond Systematic Risk and the Option Pricing Model
比较了假设债券贝塔值恒定与允许其随布莱克-舒尔斯-默顿期权定价模型变化的两种模型，揭示了债券贝塔值变动的基本特性，为改进债券收益生成模型提供了起点。
ABSTRACT In this paper we examine the behavior of the systematic risk of corporate bonds. A model that assumes β is constant is compared with a model that allows systematic risk to vary in a manner consistent with the Black‐Scholes‐Merton Options Pricing Model. This procedure captures some fundamental properties of the movement of bond β and provides a starting point for improved models of the process generating bond returns.