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

DOI10.1016/J.JEDC.2004.02.001zbMATH Open1202.91318OpenAlexW3122042095MaRDI QIDQ953752FDOQ953752

Michael Hanke

Publication date: 6 November 2008

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

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

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zbMATH Keywords

structural credit risk modelfirm-value-based option pricing

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Changes of numéraire, changes of probability measure and option pricing
• A framework for valuing corporate securities
• Stock options as barrier contingent claims

Cited In (1)

• Quantile hedging in a defaultable market with life insurance applications

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