The Effect of Interest Rates on the Value of Corporate Assets and the Risk Premia of Corporate Debt

The Effect of Interest Rates on the Value of Corporate Assets and the Risk Premia of Corporate Debt A growing number of papers have applied option pricing techniques to the valuation of risky debt. This paper deals directly with how a firm's relationship to interest rates affects its debt. A sequential binomial model is used to price the zero-coupon bonds of a firm whose value is related to interest rate changes. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

The Effect of Interest Rates on the Value of Corporate Assets and the Risk Premia of Corporate Debt

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Publisher
Springer Journals
Copyright
Copyright © 1998 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008294822856
Publisher site
See Article on Publisher Site

Abstract

A growing number of papers have applied option pricing techniques to the valuation of risky debt. This paper deals directly with how a firm's relationship to interest rates affects its debt. A sequential binomial model is used to price the zero-coupon bonds of a firm whose value is related to interest rate changes.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 6, 2004

References

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