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Applied Mathematical Finance Volume 15, 2008 - Issue 3
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Pricing Options on Defaultable StocksFootnote*

E. Bayraktar Department of Mathematics, University of Michigan, Ann Arbor, MI 48109, USACorrespondence[email protected]
Pages 277-304 | Received 30 Aug 2006, Accepted 03 Oct 2007, Published online: 23 May 2008

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Tim Leung & Ronnie Sircar. (2015) Implied Volatility of Leveraged ETF Options. Applied Mathematical Finance 22:2, pages 162-188.
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Articles from other publishers (6)

Vincenzo Russo, Rosella Giacometti & Frank J. Fabozzi. (2018) Market implied volatilities for defaultable bonds. Annals of Operations Research 275:2, pages 669-683.
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Claudio Fontana & Juan Miguel A. Montes. (2014) A unified approach to pricing and risk management of equity and credit risk. Journal of Computational and Applied Mathematics 259, pages 350-361.
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Erhan Bayraktar & Bo Yang. (2011) A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES. Mathematical Finance 21:3, pages 493-517.
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Edmond Choi & Ronnie Sircar. (2013) Analysis of Systematic Risks in Multi-Name Credit and Equity Markets. SSRN Electronic Journal.
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Claudio Fontana & Juan Miguel A. Montes. (2012) A Unified Approach to Pricing and Risk Management of Equity and Credit Risk. SSRN Electronic Journal.
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Tim Siu-Tang Leung & Ronnie Sircar. (2012) Implied Volatility of Leveraged ETF Options. SSRN Electronic Journal.
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