Journal of Finance Vol. 38 No. 5 1983
Bond Systematic Risk and the Option Pricing Model
Abstract
In this paper we examine the behavior of the systematic risk of corporate bonds. A model that assumes β is constant is compared with a model that allows systematic risk to vary in a manner consistent with the Black-Scholes-Merton Options Pricing Model. This procedure captures some fundamental properties of the movement of bond β and provides a starting point for improved models of the process generating bond returns.
- DOI
- 10.2307/2327578
- Volume
- 38
- Issue
- 5
- Pages
- 1415
- Sources
- openalex crossref