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Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
16 references·14 citing·28 second hopsampled
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (2005)Stock Options and Credit Default Swaps: A…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Agency Costs, Risk Management, and Capital Structure (1998)Agency Costs, Risk Management…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…No news is good news (1992)No news is good newsVALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…The pricing of commodity contracts (1976)The pricing of commodity cont…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Separating the Components of Default Risk: A Derivative-Based Approach (2014)Separating the Components of …Market Implied Costs of Bankruptcy (2013)Market Implied Costs of Bankr…The Economic Role of Jumps and Recovery Rates \nin the Market for Corporate Default Risk (2010)The Economic Role of Jumps an…A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES (2010)A UNIFIED FRAMEWORK FOR PRICI…Immersion Property and Credit Risk Modelling (2009)Immersion Property and Credit…CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (2009)CREDIT RISK MODELING USING TI…The Joint Behavior of Credit Spreads, Stock Options and Equity Returns When Investors Disagree (2008)The Joint Behavior of Credit …Systematic equity-based credit risk: A CEV model with jump to default (2008)Systematic equity-based credi…Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms (2007)Explaining Credit Default Swa…An Integrated Model for Hybrid Securities (2007)An Integrated Model for Hybri…Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options (2005)Theory and Evidence on the Dy…Modeling Financial Security Returns Using Levy Processes (2005)Modeling Financial Security R…Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2005)Explaining the Level of Credi…Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2005)Explaining Credit Default Swa…Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Default Risk in Equity Returns (2004)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)A Theory of the Term Structure of Interest Rates (1985)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
this work references cited by second hop· second hop is a sample of the most-cited connections

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
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1992No news is good news1,929 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1998Agency Costs, Risk Management, and Capital Structure1,495 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • Cited by

    • 2010The Economic Role of Jumps and Recovery Rates \nin the Market for Corporate Default Risk63 cited
    • 2005Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model50 cited
    • 2009Immersion Property and Credit Risk Modelling49 cited
    • 2009CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION49 cited
    • 2014Separating the Components of Default Risk: A Derivative-Based Approach47 cited
    • 2007An Integrated Model for Hybrid Securities46 cited
    • 2008Systematic equity-based credit risk: A CEV model with jump to default42 cited
    • 2005Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms40 cited
    • 2005Modeling Financial Security Returns Using Levy Processes36 cited
    • 2007Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms32 cited
    • 2008The Joint Behavior of Credit Spreads, Stock Options and Equity Returns When Investors Disagree28 cited
    • 2005Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options27 cited
    • 2010A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES25 cited
    • 2013Market Implied Costs of Bankruptcy19 cited