Pricing vulnerable European options when the option's payoff can increase the risk of financial distress

By Peter G. Klein, Michael Inglis. 2001

110 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/715af2ab8de166d82a3aeba99f36b2fb18f98363

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Citations in the corpus

• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension (2005, background): “On the other hand, the two-dimensional distributions of Equations (14) and (15) shows the joint probabilities that the option will be in-the-money and whether the option issuer will declare default or not during the remaining life of the option, which can be derived by applying some techniques of pr”
• Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes (2014, background): “Klein and Inglis (2001) extend the model of Klein (1996) by incorporating the potential liability of the written option into the default boundary.”
• Pricing Vulnerable Options with Jump Clustering (2017, background): “In another study, Klein and Inglis (2001) allow the default boundary to depend on the value of the option itself.”