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Journal of Banking and Finance
Volumn 25, Issue 5, 2001, Pages 993-1012
Pricing vulnerable European options when the option's payoff can increase the risk of financial distress
Author keywords

Credit risk; Default; Derivatives; G13; Options; Pricing
Indexed keywords

EID: 0041334016     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00109-6     Document Type: Article
Times cited : (84)
References (13)
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    • Hull, J.C.1    White, A.2
  • 8
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    • Pricing derivatives on financial securities subject to credit risk
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    • Jarrow, R.A.1    Turnbull, S.M.2
  • 9
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    • The pricing of options with default risk
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  • 10
    • 0030213215 scopus 로고    scopus 로고
    • Pricing Black-Scholes options with correlated credit risk
    • Klein P.C. Pricing Black-Scholes options with correlated credit risk. Journal of Banking and Finance. 20:1996;1211-1229.
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    • Klein, P.C.1
  • 11
    • 0042149197 scopus 로고    scopus 로고
    • Valuation of European options subject to financial distress and interest rate risk
    • Klein P.C., Inglis M. Valuation of European options subject to financial distress and interest rate risk. Journal of Derivatives. 6:1999;44-56.
    • (1999) Journal of Derivatives , vol.6 , pp. 44-56
    • Klein, P.C.1    Inglis, M.2
  • 12
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    • The valuation and behaviour of Black-Scholes options subject to intertemporal default risk
    • Rich D. The valuation and behaviour of Black-Scholes options subject to intertemporal default risk. Review of Derivatives Research. 1:1996;25-59.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.