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The impact of default risk on the prices of options and other derivative securities · Study

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ArticleThe impact of default risk on the prices of options and other derivative securities

John C. Hull1995

Article1995

The impact of default risk on the prices of options and other derivative securities

John C. Hull · Alan D White

324 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Corporate Insolvency and Governance Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1976The valuation of options for alternative stochastic processes 1981Martingales and stochastic integrals in the theory of continuous trading 1990Options, Futures, and Other Derivative Securities.1983Foreign currency option values 1989Measuring Corporate Bond Mortality and Performance 1987The Pricing of Options with Default Risk

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2000The intersection of market and credit risk 1996Pricing Black-Scholes options with correlated credit risk 1996Recursive valuation of defaultable securities and the timing of resolution of uncertainty 2000Continuous‐Time Methods in Finance: A Review and an Assessment 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 6 shared references 1995Option pricing by Esscher transforms.article · 5 shared references 1996Pricing Black-Scholes options with correlated credit riskarticle · 5 shared references 2001Pricing vulnerable European options when the option’s payoff can increase the risk of financial distressarticle · 5 shared references 1997Recent Advances in Numerical Methods for Pricing Derivative Securitieschapter · 5 shared references 2006A simple approach for pricing equity options with Markov switching state variablesarticle · 5 shared references

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Year1995

Typearticle

Published1995-05-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations324

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0378-4266(94)00050-d

openalex_workW1981136728

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