Pricing corporate debt with event-risk provisions

This paper examines the pricing of corporate risky debt with event-risk provisions based on the assumption that the value of the firm follows a mixture of both jump and diffusion processes. Economic implications for the inclusion of poison puts in the debt contracts for financial policy and corporat...

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Bibliographic Details
Published in:International review of financial analysis 1992, Vol.1 (1), p.51-63
Main Authors: Bicksler, James L., Chen, Andrew H.
Format: Article
Language:English
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Summary:This paper examines the pricing of corporate risky debt with event-risk provisions based on the assumption that the value of the firm follows a mixture of both jump and diffusion processes. Economic implications for the inclusion of poison puts in the debt contracts for financial policy and corporate control are also discussed.
ISSN:1057-5219
1873-8079
DOI:10.1016/1057-5219(92)90014-U