SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation · Study

PreprintShelves

PreprintStock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Liuren Wu2005

OA

Preprintgreen2005

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Liuren Wu · Peter Carr

76 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 76 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1976Option pricing when underlying stock returns are discontinuous 1976The pricing of commodity contracts 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2001The Determinants of Credit Spread Changes

Cited by

2010The Economic Role of Jumps and Recovery Rates \nin the Market for Corporate Default Risk 2005Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model 2009Immersion Property and Credit Risk Modelling 2009CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION 2014Separating the Components of Default Risk: A Derivative-Based Approach 2007An Integrated Model for Hybrid Securities

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimationarticle · 37 shared references 2010A Simple Robust Link Between American Puts and Credit Protectionarticle · 23 shared references 2006CREDIT RISK MODELS II: STRUCTURAL MODELSpreprint · 21 shared references 2019Specification Analysis of Structural Credit Risk Modelsarticle · 19 shared references 2006Macroeconomic Conditions, Firm Characteristics, and Credit Spreadsarticle · 18 shared references 2009CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISKarticle · 16 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations76

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.748005

openalex_workW2117516143

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2008Systematic equity-based credit risk: A CEV model with jump to default

2005Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms