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Analytical valuation of power exchange options with default 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
1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms572 cited
2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure564 cited
1987The Pricing of Options with Default Risk344 cited
1996Pricing Black-Scholes options with correlated credit risk270 cited
1978CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS213 cited
2005Power exchange options45 cited
2016The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk45 cited
2000Power options: hedging nonlinear risks39 cited
2016Pricing power exchange options with correlated jump risk33 cited

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2023Exchange options with stochastic liquidity risk21 cited

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