Pricing options on defaultable stocks

Applied Mathematical Finance

Volumn 15, Issue 3, 2008, Pages 277-304

  Bayraktar, E ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Defaultable stocks; Implied volatility skew; Multiscale perturbation methods; Option pricing; Stochastic intensity of default

Indexed keywords

EID: 45949099282     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860701798283     Document Type: Article

References (13)

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