A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings

@inproceedings{Broadie2007ABL,
  title={A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings},
  author={M. Broadie and {\"O}zg{\"u}r Kaya},
  year={2007}
}
The pricing of corporate debt is still a challenging and active research area in corporate finance. Starting with Merton (1974), many authors proposed a structural approach in which the value of the assets of the firm is modeled by a stochastic process, and all other variables are derived from this basic process. These structural models have become more complex over time in order to capture more realistic aspects of bankruptcy proceedings. The literature in this area emphasizes closed-form… CONTINUE READING

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