Wong, Hoi Ying; Choi, Tsz Wang - In: Quantitative Finance 9 (2009) 2, pp. 187-196
Brockman and Turtle [J. Finan. Econ., 2003, 67, 511-529] develop a barrier option framework to show that default barriers are significantly positive. Most implied barriers are typically larger than the book value of corporate liabilities. We show theoretically and empirically that this result is...