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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

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  • 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.
    • Handle: RePEc:eee:jbfina:v:19:y:1995:i:2:p:299-322
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    References listed on IDEAS

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    1. Kane, Edward J, 1980. "Market Incompleteness and Divergences between Forward and Future Interest Rates," Journal of Finance, American Finance Association, vol. 35(2), pages 221-234, May.
    2. Cooper, Ian A & Mello, Antonio S, 1991. "The Default Risk of Swaps," Journal of Finance, American Finance Association, vol. 46(2), pages 597-620, June.
    3. 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.
    4. 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, June.
    5. Hull, John, 1989. "Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(4), pages 489-501, December.
    6. Terrence M. Belton, 1987. "Credit risk in interest rate swaps," Research Papers in Banking and Financial Economics 101, Board of Governors of the Federal Reserve System (U.S.).
    7. 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.
    8. Vasicek, Oldrich A & Fong, H Gifford, 1982. "Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
    9. 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 1127-1140, September.
    10. repec:bla:jfinan:v:44:y:1989:i:4:p:909-22 is not listed on IDEAS
    11. Litzenberger, Robert H, 1992. "Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-850, July.
    12. Rodriguez, Ricardo J., 1988. "Default Risk, Yield Spreads, and Time to Maturity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(1), pages 111-117, March.
    13. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 87-100, March.
    14. Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 237-251, September.
    15. Jonkhart, Marius J. L., 1979. "On the term structure of interest rates and the risk of default : An analytical approach," Journal of Banking & Finance, Elsevier, vol. 3(3), pages 253-262, September.
    16. Cook, Timothy Q & Hendershott, Patric H, 1978. "The Impact of Taxes, Risk and Relative Security Supplies on Interest Rate Differentials," Journal of Finance, American Finance Association, vol. 33(4), pages 1173-1186, September.
    17. 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 637-654, May-June.
    18. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
    19. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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