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Pricing of vulnerable options with early counterparty credit risk · Study

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ArticlePricing of vulnerable options with early counterparty credit risk

Junkee Jeon2018

Article2018

Pricing of vulnerable options with early counterparty credit risk

Junkee Jeon · Geonwoo Kim

21 citations·0/0 files stored·The North American Journal of Economics and Finance

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk Management in Financial Firms

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2005Controlled Markov Processes and Viscosity Solutions 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1998Pricing the risks of default 1987The Pricing of Options with Default Risk 1996Pricing Black-Scholes options with correlated credit risk

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Year2018

Typearticle

Published2018-07-15

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.najef.2018.07.001

openalex_workW2884586107

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