Pricing equity derivatives subject to bankruptcy

Mathematical Finance

Volumn 16, Issue 2, 2006, Pages 255-282

  Linetsky, Vadim ^a,b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b Northwestern University   (United States)

Author keywords

Asian options; Bankruptcy; Brownian exponential functionals; Credit risk; Credit spread; Hazard rate; Implied volatility skew; Schr dinger operator with Morse potential; Spectral expansions; Stock options

Indexed keywords

EID: 33644980078     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00271.x     Document Type: Article

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