Pricing contingent convertibles with idiosyncratic risk (Q6053640): Difference between revisions

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+Dynamic capital structure and the contingent capital option
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+Q5505177
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+A General Formula for Valuing Defaultable Securities
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+Q4794153
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+Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
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+Real options with constant relative risk aversion
@@ Property / cites work: Real options with constant relative risk aversion / rank @@
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+DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
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+SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
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+Credit derivatives and risk aversion
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+A modified structural model for credit risk
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+Optimum consumption and portfolio rules in a continuous-time model
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+Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk
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+Consumption utility-based pricing and timing of the option to invest with partial information
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