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| Tekijä: | Jarrow, R. (et al.) |
| Otsikko: | Reduced-form valuation of callable corporate bonds: Theory and evidence |
| Lehti: | Journal of Financial Economics
2010 : FEB, VOL. 95:2, p. 227-248 |
| Asiasana: | financial markets bonds models companies USA |
| Kieli: | eng |
| Tiivistelmä: | A reduced-form approach for valuing callable corporate bonds (hereafter as: c-c-bds.) by characterizing the call probability through an intensity process is developed. From the market's perspective, the existence of a call-arrival intensity is justified by asymmetric information and market frictions. An empirical analysis of c-c-bds. using both this study's model and the more traditional American option approach for valuing c-c-bds. shows that the reduced-form model fits c-c-bds. prices well, outperforming the traditional approach both in- and out-of-sample. |
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