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The impact of default risk on the prices of options and other derivative securities

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Author Info
Hull, John
White, Alan

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 19 (1995)
Issue (Month): 2 (May)
Pages: 299-322
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Handle: RePEc:eee:jbfina:v:19:y:1995:i:2:p:299-322

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  1. Jochen R. Andritzky, 2004. "Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002," Econometric Society 2004 Far Eastern Meetings 500, Econometric Society. [Downloadable!]
  2. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October. [Downloadable!] (restricted)
  3. Szu-Lang Liao & Hsing-Hua Huang, 2005. "Pricing Black--Scholes options with correlated interest rate risk and credit risk: an extension," Quantitative Finance, Taylor and Francis Journals, vol. 5(5), pages 443-457, October. [Downloadable!] (restricted)
  4. Lung-Fu Chang & Mao-Wei Hung, 2006. "Valuation of vulnerable American options with correlated credit risk," Review of Derivatives Research, Springer, vol. 9(2), pages 137-165, September. [Downloadable!] (restricted)
  5. Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers 082, Netherlands Central Bank, Research Department. [Downloadable!]
  6. Edward Altman, 1996. "Corporate Bond and Commercial Loan Portfolio Analysis," Center for Financial Institutions Working Papers 96-41, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  7. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]
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