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A Unified Framework For Pricing Credit And Equity Derivatives
dc.contributor.authorBayraktar, Erhan
dc.contributor.authorYang, Bo
dc.date.accessioned2017-04-13T20:35:57Z
dc.date.available2017-04-13T20:35:57Z
dc.date.issued2011-07
dc.identifier.citationBayraktar, Erhan; Yang, Bo (2011). "A Unified Framework For Pricing Credit And Equity Derivatives." Mathematical Finance 21(3).
dc.identifier.issn0960-1627
dc.identifier.issn1467-9965
dc.identifier.urihttps://hdl.handle.net/2027.42/136331
dc.publisherBlackwell Publishing Inc
dc.publisherWiley Periodicals, Inc.
dc.subject.otherstochastic interest rate
dc.subject.othermultiscale perturbation method
dc.subject.otherimplied volatility
dc.subject.otherequity options
dc.subject.otherdefaultable stock
dc.subject.otherdefaultable bond
dc.titleA Unified Framework For Pricing Credit And Equity Derivatives
dc.typeArticleen_US
dc.rights.robotsIndexNoFollow
dc.subject.hlbsecondlevelFinance
dc.subject.hlbsecondlevelMathematics
dc.subject.hlbtoplevelScience
dc.subject.hlbtoplevelBusiness and Economics
dc.description.peerreviewedPeer Reviewed
dc.contributor.affiliationumUniversity of Michigan
dc.contributor.affiliationotherMorgan Stanley
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/136331/1/j.1467-9965.2010.00435.x.pdf
dc.identifier.doi10.1111/j.1467-9965.2010.00435.x
dc.identifier.sourceMathematical Finance
dc.identifier.citedreferenceBielecki, T. R., and M. Rutkowski ( 2002 ): Credit Risk: Modeling, Valuation and Hedging, New York: Springer.
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dc.identifier.citedreferenceCarr, P., and L. Wu ( 2006 ): Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation, Technical Report. Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=748005.
dc.identifier.citedreferenceCarr, P., and V. Linetsky ( 2006 ): A Jump to Default Extended CEV Model: An Application of Bessel Processes, Finance Stoch. 10, 303 – 330.
dc.identifier.citedreferenceBayraktar, E. ( 2008 ): Pricing Options on Defaultable Stocks, Appl. Math. Finance 15 ( 3 ), 277 – 304.
dc.identifier.citedreferenceSchönbucher, P. J. ( 2003 ): Credit Derivatives Pricing Models: Model, Pricing and Implementation, New York: Wiley.
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dc.identifier.citedreferencePapageorgiou, E., and R. Sircar ( 2008 ): Multiscale Intensity Based Models for Single Name Credit Derivatives, Appl. Math. Finance 15 ( 1 ), 73 – 105.
dc.identifier.citedreferenceLinetsky, V. ( 2006 ): Pricing Equity Derivatives Subject to Bankruptcy, Math. Finance 16 ( 2 ), 255 – 282.
dc.identifier.citedreferenceGeman, H., N. E. Karoui, and J. C. Rochet ( 1995 ): Changes of Numéraire, Changes of Probability Measures and Option Pricing, J. Appl. Probab. 32, 443 – 458.
dc.identifier.citedreferenceFouque, J. P., G. Papanicolaou, R. Sircar, and K. Solna ( 2003 ): Multiscale Stochastic Volatility Asymptotics, SIAM J. Multiscale Model. Simul. 2 ( 1 ), 22 – 42.
dc.identifier.citedreferenceFouque, J.‐P., G. Papanicolaou, and K. R. Sircar ( 2000 ): Derivatives in Financial Markets with Stochastic Volatility, New York: Cambridge University Press.
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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