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Pricing and static hedging of American-style knock-in options on defaultable stocks
16 references·0 citing·40 second hop
Pricing and static hedging of American-style knock-in options on defaultable stocks (2015)Pricing and static hedging of American-st…Stochastic Differential Equations—An Introduction With Applications (2006)Stochastic Differential Equat…Theory of rational option pricing (2005)Theory of rational option pri…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…Risk-Neutral Skewness: Evidence from Stock Options (2002)Risk-Neutral Skewness: Eviden…Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Pricing and Hedging Path-Depe…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Pricing the risks of default (1998)Pricing the risks of defaultThe Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Computing the Constant Elasticity of Variance Option Pricing Formula (1989)Computing the Constant Elasti…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Coherent Measures of Risk (1999)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Forecasting: theory and practice (2022)Option pricing: A simplified approach (1979)Efficient Analytic Approximation of American Option Values (1987)Monte Carlo methods for security pricing (1997)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Integration and Differential Equations (1990)Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation (2004)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)Stochastic Differential Equations (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Default Risk in Equity Returns (2004)Forecasting Default with the Merton Distance to Default Model (2008)Do Shareholders Benefit from Green Bonds? (2018)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)
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References

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  • 2005Theory of rational option pricing7,183 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.4,034 cited
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  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
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  • 1998

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Static Hedging of Exotic Options
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