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The valuation and behavior of black-scholes options subject to intertemporal default risk
16 references·0 citing·28 second hop
The valuation and behavior of black-scholes options subject to intertemporal default risk (1996)The valuation and behavior of black-schol…Theory of rational option pricing (2005)Theory of rational option pri…Pricing the risks of default (1998)Pricing the risks of defaultPricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Capital Ideas: The Improbable Origins of Modern Wall Street. (1992)Capital Ideas: The Improbable…An Empirical Investigation of U.S. Firms in Reorganization (1989)An Empirical Investigation of…Theory of Financial Decision Making. (1988)Theory of Financial Decision …An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…A contingent-claims valuation of convertible securities (1977)A contingent-claims valuation…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The Determinants of Credit Spread Changes (2001)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1989An Empirical Investigation of U.S. Firms in Reorganization517 cited
  • 1977A contingent-claims valuation of convertible securities491 cited
  • 1998Pricing the risks of default469 cited
  • 1992Capital Ideas: The Improbable Origins of Modern Wall Street.

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