Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

By Peter P. Carr, Liuren Wu. 2010

230 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/69cfc443965d6f8cf9f6273e48dfd3dddd23cded

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Liuren Wu
2. Peter P. Carr
3. Thomas R. Hurd
4. V. Todorov
5. Jan Kallsen
6. Yacine Aït-Sahalia
7. Jean Jacod
8. D. Xiu

In Strategy and Management

1. Thomas R. Hurd
2. Liuren Wu

Citations in the corpus

• Credit Risk Modeling Using Time-Changed Brownian Motion (2009, background): “So-called hybrid models [27] (see also [11]) seek to tighten the connection with structural models by allowing the hazard rate to depend on the firm’s equity value (stock price), and allow the stock price to jump to zero at the time of default.”
• Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, unknown): “Carr and Wu (2005) use data on credit default swaps and equity options to estimate a jump-di¤usion model where stock prices can jump to zero in case of default.”
• A Simple Robust Link between American Puts and Credit Protection (2011, background): “Extensions and estimations of such jump-to-default models include Carr and Wu (2007, 2010), Carr and Linetsky (2006), and Le (2007).”