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Pricing vulnerable European options when the option’s payoff can increase the risk of financial distress

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
1976Valuing Corporate Securities: Some Effects of Bond Indenture Provisions461 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk396 cited
1987The Pricing of Options with Default Risk344 cited
1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited
1995The impact of default risk on the prices of options and other derivative securities324 cited
1996Pricing Black-Scholes options with correlated credit risk270 cited

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2013Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes88 cited

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2008

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

64 cited

2017Pricing Vulnerable Options with Jump Clustering60 cited

2005Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension56 cited

2014Analytical pricing of vulnerable options under a generalized jump–diffusion model51 cited

2019Pricing vulnerable power exchange options in an intensity based framework40 cited

2022Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate33 cited

2016Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy32 cited

2008Importance sampling for integrated market and credit portfolio models32 cited

2003The implied reserves of the Bank Insurance Fund30 cited

2007Valuation of vulnerable American options with correlated credit risk27 cited

2019Analytical valuation of Asian options with counterparty risk under stochastic volatility models25 cited

2010Vulnerable American options25 cited

2025A closed-form solution for pricing European-style options under the Heston model with credit and liquidity risks24 cited

2021Analytical valuation of vulnerable European and Asian options in intensity-based models24 cited

2012Pricing options with credit risk in a reduced form model23 cited