Review of Financial Studies · 1999 · 2.6K citations · 48 references
BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsFinancial ModelingBond MarketsBond PricingDebt DefaultDebt ModelingDependence ModelingBond DefaultsBond Market Reactions To DefaultBond Pricing ModelsDefault-free Bond PricingDefaultable Bond ValuationDefaultable Term Structure ModelsNo-arbitrage Term Structure ModelsTerm Structure Effects
This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the valuation of a credit-spread option.
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The Pricing of Options and Corporate Liabilities
Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
Robert C. Merton · The Journal of Finance · 1974 · 11K citations · Full text
Business, Finance, Asset Pricing +16
A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations