King, Tao-Hsien Dolly - In: Journal of Financial and Quantitative Analysis 37 (2002) 04, pp. 693-721
This study examines call option values implicit in U.S. corporate bonds from 1973 to 1994. The average call option value is 2.25% of par. Over time, call values remain close to zero until one year before the first call date, reach a maximum at the beginning of the callable period, and slowly...