Pricing Options on Defaultable Stocks
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- Andrea De Martino & Edward Manuel Ruiz Crosby & Roberto Stagni, 2017. "A unified framework for pricing credit and equity derivatives," Working Papers 2017-116, Peruvian Economic Association.
- repec:wsi:ijtafx:v:15:y:2012:i:08:n:s0219024912500598 is not listed on IDEAS
- Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
- Tim Leung & Peng Liu, 2012.
"Risk Premia And Optimal Liquidation Of Credit Derivatives,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-34.
- Tim Leung & Peng Liu, 2011. "Risk Premia and Optimal Liquidation of Credit Derivatives," Papers 1110.0220, arXiv.org, revised Oct 2012.
More about this item
KeywordsOption pricing; multiscale perturbation methods; defaultable stocks; stochastic intensity of default; implied volatility skew;
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