Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
The Valuation of Corporate Coupon Bonds
Jens Hilscher, Robert A. Jarrow, and Donald R. van Deventer ♦ This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes a more realistic recovery rate process. Most existing studies use a recovery rate…