{"id":"https://openalex.org/W2027926558","doi":"https://doi.org/10.1017/s0022109000003288","title":"A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings","display_name":"A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings","publication_year":2007,"publication_date":"2007-06-01","ids":{"openalex":"https://openalex.org/W2027926558","doi":"https://doi.org/10.1017/s0022109000003288","mag":"2027926558"},"language":"en","primary_location":{"id":"doi:10.1017/s0022109000003288","doi":"https://doi.org/10.1017/s0022109000003288","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0022109000003288","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5019425888","display_name":"Mark N. Broadie","orcid":"https://orcid.org/0009-0004-1050-6408","observed_orcids":["https://orcid.org/0009-0004-1050-6408"]},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Mark Broadie","raw_affiliation_strings":["","* mnb2@columbia.edu, Columbia University, Graduate School of Business, 3022 Broadway, New York, NY 10027"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"","institution_ids":[]},{"raw_affiliation_string":"* mnb2@columbia.edu, Columbia University, Graduate School of Business, 3022 Broadway, New York, NY 10027","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035407587","display_name":"\u00d6zg\u00fcr Kaya","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"\u00d6zg\u00fcr Kaya","raw_affiliation_strings":["","* okaya@lehman.com, Lehman Brothers, 745 Seventh Avenue, New York, NY 10019"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"","institution_ids":[]},{"raw_affiliation_string":"* okaya@lehman.com, Lehman Brothers, 745 Seventh Avenue, New York, NY 10019","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":8.2798,"has_fulltext":false,"cited_by_count":58,"citation_normalized_percentile":{"value":0.97122091,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"42","issue":"2","first_page":"279","last_page":"312"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8910999894142151,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8910999894142151,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12509","display_name":"Corporate Insolvency and Governance","score":0.056699998676776886,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.023000000044703484,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/corporate-debt-pricing","display_name":"corporate debt pricing","score":0.9769999980926514},{"id":"https://openalex.org/keywords/binomial-lattice","display_name":"binomial lattice","score":0.8859999775886536},{"id":"https://openalex.org/keywords/chapter-11-bankruptcy","display_name":"Chapter 11 bankruptcy","score":0.8109999895095825},{"id":"https://openalex.org/keywords/structural-credit-risk-models","display_name":"structural credit risk models","score":0.796999990940094},{"id":"https://openalex.org/keywords/limited-liability","display_name":"limited liability","score":0.7490000128746033},{"id":"https://openalex.org/keywords/leland-model","display_name":"Leland model","score":0.753000020980835},{"id":"https://openalex.org/keywords/insolvency-proceedings","display_name":"insolvency proceedings","score":0.5099999904632568}],"concepts":[{"id":"https://openalex.org/C504631918","wikidata":"https://www.wikidata.org/wiki/Q152074","display_name":"Bankruptcy","level":2,"score":0.651373028755188},{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.5652073621749878},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5496755242347717},{"id":"https://openalex.org/C166827900","wikidata":"https://www.wikidata.org/wiki/Q7843049","display_name":"Trinomial tree","level":4,"score":0.5146611332893372},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4833800196647644},{"id":"https://openalex.org/C120527767","wikidata":"https://www.wikidata.org/wiki/Q3196867","display_name":"Debt","level":2,"score":0.4786989986896515},{"id":"https://openalex.org/C2781204021","wikidata":"https://www.wikidata.org/wiki/Q6497091","display_name":"Lattice (music)","level":2,"score":0.4547135829925537},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.44213634729385376},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.44027960300445557},{"id":"https://openalex.org/C149933338","wikidata":"https://www.wikidata.org/wiki/Q950816","display_name":"Capital structure","level":3,"score":0.4277372658252716},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3824830949306488},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.35985106229782104},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.35353368520736694},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3469619154930115},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.27613240480422974},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2553044855594635},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10260215401649475},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.09326598048210144},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C24890656","wikidata":"https://www.wikidata.org/wiki/Q82811","display_name":"Acoustics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1017/s0022109000003288","doi":"https://doi.org/10.1017/s0022109000003288","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0022109000003288","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:cup:jfinqa:v:42:y:2007:i:02:p:279-312_00","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0022109000003288/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Partnerships for the goals","score":0.550000011920929,"id":"https://metadata.un.org/sdg/17"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W2458292","https://openalex.org/W1500672044","https://openalex.org/W1557238565","https://openalex.org/W1980177911","https://openalex.org/W1989562221","https://openalex.org/W1995503011","https://openalex.org/W1997753289","https://openalex.org/W2006804758","https://openalex.org/W2029370589","https://openalex.org/W2070190162","https://openalex.org/W2070291774","https://openalex.org/W2104723218","https://openalex.org/W2105973145","https://openalex.org/W2120776918","https://openalex.org/W2121799706","https://openalex.org/W2121833851","https://openalex.org/W2145725084","https://openalex.org/W2146612430","https://openalex.org/W2147803902","https://openalex.org/W2154044885","https://openalex.org/W2170120409","https://openalex.org/W2946289328","https://openalex.org/W3121140106","https://openalex.org/W3121402813","https://openalex.org/W3125744792","https://openalex.org/W3126029543","https://openalex.org/W4365787967"],"related_works":["https://openalex.org/W3121995397","https://openalex.org/W1977487688","https://openalex.org/W2025510379","https://openalex.org/W2271784781","https://openalex.org/W4388132088","https://openalex.org/W1744280297","https://openalex.org/W2107909464","https://openalex.org/W6910056906","https://openalex.org/W4241049593","https://openalex.org/W432382052"],"abstract_inverted_index":{"Abstract":[0],"The":[1,72],"pricing":[2,91,158],"of":[3,31,34,69,143,174,209],"corporate":[4,15,165],"debt":[5,166],"is":[6,37,95],"still":[7],"a":[8,24,40,101,110,122],"challenging":[9],"and":[10,43,108,197,212,215],"active":[11],"research":[12],"area":[13,76],"in":[14,27,62,74,155,164,183],"finance.":[16],"Starting":[17],"with":[18,104],"Merton":[19],"(1974),":[20],"many":[21],"authors":[22],"proposed":[23],"structural":[25,54,133],"approach":[26],"which":[28],"the":[29,32,35,114,144,156,170,175,193,201,205],"value":[30],"assets":[33],"firm":[36],"modeled":[38],"by":[39,83],"stochastic":[41],"process,":[42],"all":[44],"other":[45],"variables":[46],"are":[47,81,161],"derived":[48,82],"from":[49],"this":[50,75,118,184],"basic":[51],"process.":[52],"These":[53],"models":[55,134],"have":[56,151],"become":[57],"more":[58,66,206],"complex":[59,132,207],"over":[60],"time":[61],"order":[63],"to":[64,99,130,179,191,200],"capture":[65],"realistic":[67,105],"aspects":[68],"bankruptcy":[70,146],"proceedings.":[71],"literature":[73],"emphasizes":[77],"closed-form":[78,111],"solutions":[79],"that":[80,126,138],"either":[84],"partial":[85],"differential":[86],"equation":[87],"methods":[88,150],"or":[89],"analytical":[90],"techniques.":[92],"However,":[93],"it":[94],"not":[96],"always":[97],"possible":[98],"build":[100],"comprehensive":[102],"model":[103,106,196,208],"features":[107],"achieve":[109],"solution":[112],"at":[113],"same":[115],"time.":[116],"In":[117,168],"paper,":[119],"we":[120],"develop":[121],"binomial":[123],"lattice":[124,149],"method":[125,187],"can":[127,188],"be":[128,180,189],"used":[129,154,190],"handle":[131],"such":[135],"as":[136],"ones":[137],"include":[139],"Chapter":[140],"11":[141],"proceedings":[142],"U.S.":[145],"code.":[147],"Although":[148],"been":[152],"widely":[153],"option":[157],"literature,":[159],"they":[160],"relatively":[162],"new":[163],"pricing.":[167],"particular,":[169],"limited":[171],"liability":[172],"requirement":[173],"equity":[176],"holders":[177],"needs":[178],"handled":[181],"carefully":[182],"context.":[185],"Our":[186],"solve":[192],"Leland":[194],"(1994)":[195],"its":[198],"extension":[199],"finite":[202],"maturity":[203],"case,":[204],"Broadie,":[210],"Chernov,":[211],"Sundaresan":[213],"(2007),":[214],"others.":[216]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":7},{"year":2013,"cited_by_count":3}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
