We develop a mathematical proof demonstrating that only financially-strong firms will sell put options on their own … stock, but financially-weak firms will not. The sale of options on a company's own stock exposes the buyer to default risk … provide some empirical evidence that the combination of three very difficult concepts, put options, separating equilibria, and …

There is a link between barrier options and tax shields of interest expense. We combine this link with a traditional …

identify a call option on debt as a fixed number of put options using a modified exercise price on a modified asset, which is … the option we apply barrier options results. The formulas are quite general and may be used for valuing both embedded and … third-party options. All formulas are developed in the seminal and standard Black-Scholes-Merton model and, thus, standard …

expressed as a portfolio of barrier options and perpetual debt with a time dependent barrier. We analyze how the issuer …