Pricing black-scholes options with correlated credit risk

Journal of Banking and Finance

Volumn 20, Issue 7, 1996, Pages 1211-1229

  Klein, Peter ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Credit risk; Default; Derivatives; Options; Pricing

Indexed keywords

EID: 0030213215     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-4266(95)00052-6     Document Type: Article

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