Stock options as barrier contingent claims

DOI10.1080/1350486032000088921zbMATH Open1061.91026OpenAlexW3124174141MaRDI QIDQ4457071FDOQ4457071

Joel Reneby, Jan Ericsson

Publication date: 21 March 2004

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0137.pdf

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zbMATH Keywords

corporate securities

Mathematics Subject Classification ID

Cited In (5)

• Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
• A capital structure when stock options are issued
• Outside barrier lookback options with floating strike
• A comprehensive structural model for defaultable fixed-income bonds
• Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate

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