Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt

DOI10.1016/J.JEDC.2004.02.001zbMath1202.91318OpenAlexW3122042095MaRDI QIDQ953752

Michael Hanke

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.02.001

zbMATH Keywords

structural credit risk modelfirm-value-based option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Quantile hedging in a defaultable market with life insurance applications

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stock options as barrier contingent claims
• A framework for valuing corporate securities
• Changes of numéraire, changes of probability measure and option pricing

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