Bond Systematic Risk and the Option Pricing Model
比较了假设β为常数的模型与允许系统性风险随Black-Scholes-Merton期权定价模型变化的模型，揭示了债券β变动的基本特性，为改进债券收益生成模型提供起点。
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.