The valuation and behavior of black-scholes options subject to intertemporal default risk

Review of Derivatives Research

Volumn 1, Issue 1, 1996, Pages 25-59

  Rich, Don ^a  

^a NORTHEASTERN UNIVERSITY   (United States)

Author keywords

Creditworthiness; Default; Default premium; Derivatives; Forwards; Hedging; Margin Requirements; Options; Risk Management

Indexed keywords

EID: 0039074598     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01536394     Document Type: Article

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