Pricing Options on Defaultable Stocks*
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Publication:3523656
DOI10.1080/13504860701798283zbMath1142.91504arXiv0707.0336OpenAlexW2015134771MaRDI QIDQ3523656
Publication date: 5 September 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0707.0336
option pricingimplied volatility skewmultiscale perturbation methodsdefaultable stocksstochastic intensity of default
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Related Items (4)
A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES ⋮ Implied Volatility of Leveraged ETF Options ⋮ Market implied volatilities for defaultable bonds ⋮ A unified approach to pricing and risk management of equity and credit risk
Cites Work
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- A jump to default extended CEV model: an application of Bessel processes
- Singular Perturbations in Option Pricing
- Multiscale Stochastic Volatility Asymptotics
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
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