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Pricing options with credit risk in a reduced form model · Study

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ArticlePricing options with credit risk in a reduced form model

Xiaonan Su2012

Article2012

Pricing options with credit risk in a reduced form model

Xiaonan Su · Wensheng Wang

23 citations·0/0 files stored·Journal of the Korean Statistical Society

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Stochastic processes and financial applications Capital Investment and Risk Analysis Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1999Modeling Term Structures of Defaultable Bonds 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1999Estimating the Price of Default Risk 2001Counterparty Risk and the Pricing of Defaultable Securities 2001Risk and Valuation of Collateralized Debt Obligations

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2003Credit Risk Modeling and Valuation: An Introductionpreprint · 7 shared references 2018Credit Risk Research: Review and Agendaarticle · 7 shared references 2014Analytical pricing of vulnerable options under a generalized jump–diffusion modelarticle · 7 shared references 2007Valuation of vulnerable American options with correlated credit riskarticle · 7 shared references 2019Pricing Vulnerable Options with Correlated Credit Risk Under Jump-diffusion Processes When Corporate Liabilities Are Randomarticle · 7 shared references 2005Credit risk modeling with affine processesarticle · 6 shared references

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Year2012

Typearticle

Published2012-02-11

VenueJournal of the Korean Statistical Society

ISSN-L1226-3192

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jkss.2012.01.006

openalex_workW2029675411

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