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Pricing Black-Scholes options with correlated credit risk

  • Klein, Peter
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3VWT1JS-4/2/d75c02500a67bc0f4fa88f8d8d47767f
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 20 (1996)
    Issue (Month): 7 (August)
    Pages: 1211-1229

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    Handle: RePEc:eee:jbfina:v:20:y:1996:i:7:p:1211-1229
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Lee, C Jevons, 1981. "The Pricing of Corporate Debt: A Note," Journal of Finance, American Finance Association, vol. 36(5), pages 1187-89, December.
    2. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
    3. 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.
    4. Chance, Don M, 1990. " Default Risk and the Duration of Zero Coupon Bonds," Journal of Finance, American Finance Association, vol. 45(1), pages 265-74, March.
    5. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
    6. Yawitz, Jess B & Maloney, Kevin J & Ederington, Louis H, 1985. " Taxes, Default Risk, and Yield Spreads," Journal of Finance, American Finance Association, vol. 40(4), pages 1127-40, September.
    7. Edward I. Altman, 1990. "Setting the Record Straight on Junk Bonds: A Review of the Research on Default Rates and Returns," Journal of Applied Corporate Finance, Morgan Stanley, vol. 3(2), pages 82-95.
    8. Smith, Clifford Jr. & Warner, Jerold B., 1979. "On financial contracting : An analysis of bond covenants," Journal of Financial Economics, Elsevier, vol. 7(2), pages 117-161, June.
    9. Ho, Thomas S. Y. & Singer, Ronald F., 1982. "Bond indenture provisions and the risk of corporate debt," Journal of Financial Economics, Elsevier, vol. 10(4), pages 375-406, December.
    10. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    11. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    12. Wruck, Karen Hopper, 1990. "Financial distress, reorganization, and organizational efficiency," Journal of Financial Economics, Elsevier, vol. 27(2), pages 419-444, October.
    13. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    14. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-22, September.
    15. Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May.
    16. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
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