Merton's model, credit risk and volatility skews

By John C. Hull, I. Nelken, Alan G. White. 2005

212 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8d4c03e8c94889b9bb6874ebe4d950f50e337ca7

Citations in the corpus

• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009, unknown): “The connection was suggested first by Black (1976); for recent empirical studies of the connection see, e.g., Toft and Prucyk (1997), Hull et al. (2004), Cremers (2005a), Carr and Linetsky (2005).”
• A Simple Robust Link between American Puts and Credit Protection (2011, unknown): “In this article, we explore the theoretical possibility that for put options struck deepest out-of-the-money on the stock, pricing is entirely driven by the default possibility, rendering the precise behavior of the underlying stock price process irrelevant for the pricing of these puts. The existen”
• New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability (2007, unknown): “Recent research has studied the relationship between the volatility skew implied by equity options and CDS spreads ( Hull et. al. 2004 ).”