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

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  • Hull, John
  • White, Alan

Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VCY-3YB56TV-2K/2/13803c0c3775cd134506553571309231
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Bibliographic Info

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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Web page: http://www.elsevier.com/locate/jbf

For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Cited by:
  1. Richards, Timothy J. & Manfredo, Mark R., 2003. "Infrequent Shocks and Rating Revenue Insurance: A Contingent Claims Approach," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(02), August.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Alain Capiez, 2000. "Evaluation du crédit-bail et risque de crédit," Post-Print halshs-00587435, HAL.
  7. Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers 082, Netherlands Central Bank, Research Department.
  8. Tsung-Kang Chen & Hsien-Hsing Liao & Chia-Wu Lu, 2011. "A flow-based corporate credit model," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 517-532, May.
  9. 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.
  10. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Quantitative Finance Papers 1111.3856, arXiv.org, revised Feb 2012.
  11. Boris Podobnik & Davor Horvatic & Alexander M. Petersen & Branko Uro\v{s}evi\'c & H. Eugene Stanley, 2010. "Bankruptcy risk model and empirical tests," Quantitative Finance Papers 1011.2670, arXiv.org.
  12. Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Quantitative Finance Papers 1202.0587, arXiv.org.
  13. 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.

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