CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
By Nan Chen, Steven Kou. 2009
176 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/261806f16a4aa3e7f80bc7c86ed72cf6ec503e24
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Steven Kou
- Peter Tankov
- Rama Cont
- Hui Wang
- Peter P. Carr
- D. Xiu
- Antonis Papapantoleon
- Conall O’Sullivan
Citations in the corpus
- Leverage Dynamics without Commitment (2021, unknown): “The analysis in Chen and Kou (2009) suggests that one can still solve for the equity valuation in closed form under certain conditions.”
- Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, background): “structure models, and Chen and Kou (2005) for applications in credit risk and credit derivatives.”