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Valuation of European Options Subject to Financial Distress and Interest Rate risk

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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
1973Theory of Rational Option Pricing8,060 cited
1977An equilibrium characterization of the term structure6,104 cited
1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
1990Pricing Interest-Rate-Derivative Securities2,168 cited
1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt406 cited
1987The Pricing of Options with Default Risk344 cited
1995The impact of default risk on the prices of options and other derivative securities324 cited
1997Valuing Risky Fixed Rate Debt: An Extension303 cited
1996Pricing Black-Scholes options with correlated credit risk270 cited

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2008Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

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2017Pricing vulnerable options with stochastic volatility64 cited

2017Pricing Vulnerable Options with Jump Clustering60 cited

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

2016The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk45 cited

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

2019Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate32 cited

2016Closed-form pricing formula for exchange option with credit risk30 cited

2007Valuation of vulnerable American options with correlated credit risk27 cited