Pricing vulnerable Black-Scholes options with dynamic default barriers

Journal of Derivatives

Volumn 10, Issue 4, 2003, Pages 62-69

  Hui, C H ^a   Lo, C F ^b   Lee, H C ^b  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 36549022677     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2003.319206     Document Type: Article

References (12)

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3. Briys, E., and F. de Varenne. "Valuing Risky Fixed Rate Debt: an Extension. " Journal of Financial and Quantitative Analysis, 32(1997), pp. 230-248.
4. Hull, J., and A. White. "The Impact of Default Risk on the Prices of Options and Other Derivative Securities." Journal of Banking and Finance, 19(1995), pp. 299-322.
5. Jarrow, R., and S. Turnbull. "Pricing Derivatives on Financial Securities Subject to Default Risk." Journal of Finance, 50(1995), pp. 53-86.
6. Johnson, R. "Term Structures of Corporate Bond Yields as a Function of Risk of Default." Journal of Finance, 22(1965), pp. 313-345.
7. Johnson, R., and R. Stulz. "The Pricing of Options with Default Risk." Journal of Finance, 42(1987), pp. 267-280.
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9. Klein, P., and M. Inglis. "Valuation of European Options Subject to Financial Distress and Interest Rate Risk." The Journal of Derivatives, 6(Spring 1999), pp. 44-56.
10. Lo, C. F., and C. H. Hui. "Valuation of Financial Derivatives with Time-Dependent Parameters-Lie Algebraic Approach." Quantitative Finance, 1(2001), pp. 73-78.
11. Longstaff, F., and E. Schwartz. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt." Journal of Finance, 50(1995), pp. 789-819.
12. Merton, R. C. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, 2(1974), pp. 449-470.