Pricing Black-Scholes options with correlated credit risk
References (28)
- et al.
The valuation of options for alternative stochastic processes
Journal of Financial Economics
(1976) - et al.
Martingales and stochastic integrals in the theory of continuous trading
Stochastic Processes and their Applications
(1981) - et al.
Bond indenture provisions and the risk of corporate debt
Journal of Financial Economics
(1982) - et al.
The impact of default risk on the prices of options and other derivative securities
Journal of Banking and Finance
(1995) On the term structure of interest rates and the risk of default
Journal of Banking and Finance
(1979)Financial distress, reorganization and organizational efficiency
Journal of Financial Economics
(1990)- et al.
- et al.
The lognormal distribution
(1966) Measuring corporate bond mortality and performance
Journal of Finance
(1989)Setting the record straight on junk bonds: A review of the research on default rates and returns
Journal of Applied Corporate Finance
(1990)
Revisiting the high-yield bond market
Financial Management
(1992)
Defaulted bonds: Demand, supply and performance 1987–1992
Financial Analysts Journal
(1993)
Valuing corporate securities: Some effects of bond indenture provisions
Journal of Finance
(1976)
The valuation of options and corporate liabilities
Journal of Political Economy
(1973)
Cited by (0)
- ∗
Tel.: (1) (416) 978-5703.
Copyright © 1996 Published by Elsevier B.V.