In this essay, we empirically test the Constant-Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996 [note: A revised version of the paper was published by the Journal of Portfolio Management (1996).]) and Cox and Ross (1976), and compare the performances of the CEV and...

This paper first reviews empirical evidence and estimation methods of structural credit risk models. Next, an empirical investigation of the performance of default prediction under the down-and-out barrier option framework is provided. In the literature review, a brief overview of the structural...