Valuation of vulnerable American options with correlated credit risk
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 9 (2006)
Issue (Month): 2 (September)
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Web page: http://www.springerlink.com/link.asp?id=102989
American options; Derivatives; Default; Credit risk; Multi-exercisable; Martingale; G13;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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- Johnson, Herb & Stulz, Rene, 1987. " The Pricing of Options with Default Risk," Journal of Finance, American Finance Association, vol. 42(2), pages 267-80, June.
- Trigeorgis, Lenos, 1991. "A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 309-326, September.
- Klein, Peter & Inglis, Michael, 2001. "Pricing vulnerable European options when the option's payoff can increase the risk of financial distress," Journal of Banking & Finance, Elsevier, vol. 25(5), pages 993-1012, May.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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