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Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
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Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (2014)Pricing and static hedging of European-st…Theory of rational option pricing (2005)Theory of rational option pri…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…Risk-Neutral Skewness: Evidence from Stock Options (2002)Risk-Neutral Skewness: Eviden…Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Pricing and Hedging Path-Depe…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Pricing the risks of default (1998)Pricing the risks of defaultThe Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Computing the Constant Elasticity of Variance Option Pricing Formula (1989)Computing the Constant Elasti…Further Results on the Constant Elasticity of Variance Call Option Pricing Model (1982)Further Results on the Consta…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…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Forecasting: theory and practice (2022)Prices of State-Contingent Claims Implicit in Option Prices (1978)Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness (1994)Implied Binomial Trees (1994)The Variance Gamma Process and Option Pricing (1998)An Engine, Not a Camera (2006)The Cross‐Section of Volatility and Expected Returns (2006)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Prospect Theory and Asset Prices (2001)Default Risk in Equity Returns (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Ex Ante Skewness and Expected Stock Returns (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)Option pricing: A simplified approach (1979)Forecasting Default with the Merton Distance to Default Model (2008)Do Shareholders Benefit from Green Bonds? (2018)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,029 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2003Equity Volatility and Corporate Bond Yields1,207 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1998Pricing the risks of default469 cited
  • 2002Risk-Neutral Skewness: Evidence from Stock Options421 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk396 cited
  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
  • 2001Pricing and Hedging Path-Dependent Options Under the CEV Process343 cited
  • 1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
  • 1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model308 cited
  • 1998Static Hedging of Exotic Options

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