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Pricing Black-Scholes options with correlated credit risk

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  • Klein, Peter

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  • Klein, Peter, 1996. "Pricing Black-Scholes options with correlated credit risk," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1211-1229, August.
    • Handle: RePEc:eee:jbfina:v:20:y:1996:i:7:p:1211-1229
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    References listed on IDEAS

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    1. 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.
    2. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
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    4. Johnson, Herb & Stulz, Rene, 1987. "The Pricing of Options with Default Risk," Journal of Finance, American Finance Association, vol. 42(2), pages 267-280, June.
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    7. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    8. Lee, C Jevons, 1981. "The Pricing of Corporate Debt: A Note," Journal of Finance, American Finance Association, vol. 36(5), pages 1187-1189, December.
    9. 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.
    10. 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.
    11. 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 351-367, May.
    12. 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.
    13. 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.
    14. Chance, Don M, 1990. "Default Risk and the Duration of Zero Coupon Bonds," Journal of Finance, American Finance Association, vol. 45(1), pages 265-274, March.
    15. Pitts, C G C & Selby, M J P, 1983. "The Pricing of Corporate Debt: A Further Note," Journal of Finance, American Finance Association, vol. 38(4), pages 1311-1313, September.
    16. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
    17. 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.
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