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

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1979Option pricing: A simplified approach6,103 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1990Options, Futures, and Other Derivative Securities.1,227 cited
1983Foreign currency option values1,078 cited
1989Measuring Corporate Bond Mortality and Performance426 cited
1987The Pricing of Options with Default Risk344 cited
1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited

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2000The intersection of market and credit risk304 cited
1996Pricing Black-Scholes options with correlated credit risk270 cited
1996Recursive valuation of defaultable securities and the timing of resolution of uncertainty232 cited
2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence194 cited
2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

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183 cited

2000A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads172 cited

2005Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments168 cited

2004Option Pricing: Valuation Models and Applications164 cited

2005Credit risk modeling with affine processes159 cited

2005A Survey of Cyclical Effects in Credit Risk Measurement Models135 cited

2012CVA and Wrong-Way Risk108 cited

2006Vulnerable options in supply chains: Effects of supplier competition106 cited

1996Leasing and credit risk102 cited

2001Pricing vulnerable European options when the option’s payoff can increase the risk of financial distress100 cited

2004Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature100 cited