This article empirically tests five structural models of corporate bond pricing: those of Merton
(1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin …

In the past five years, many sophisticated models for pricing credit risk have been
developed. The rapid progress in this area is primarily a result of the growth of credit …

We propose a dynamically consistent framework that allows joint valuation and estimation of
stock options and credit default swaps written on the same reference company. We model …

We develop a simple robust link between deep out-of-the-money American put options on a
company's stock and a credit insurance contract on the company's bond. We assume that …

In this article, we examine the extent to which firm fundamentals can explain the cross-
sectional variation in credit default swap (CDS) spreads. We construct a fundamental CDS …

This report reviews the structural approach for credit risk modelling, both considering the
case of a single firm and the case with default dependences between firms. In the single firm …

This paper tests the main implications of the classical Black-Scholes-Merton theory of
corporate security valuation. Data on the debt of companies with a single outstanding bullet …

This paper provides a review of the structural approach for modelling credit risk, both
considering the case of a single firm and the case with default dependences between firms …

This paper empirically studies a model for pricing risky corporate bonds proposed by
Baaquie—based on the seminal Merton. The proposed model provides an exact solution for …

This paper studies a model proposed by Baaquie (Phys A Stat Mech Appl 541: 123367,
2020b) for which a corporate bond pays coupons that are stochastic—depending on the …