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Distressed debt prices and recovery rate estimation
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi - In: Review of derivatives research 11 (2008) 3, pp. 171-204
Persistent link: https://www.econbiz.de/10003835030
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The valuation of a firm's investment opportunities : a reduced form credit risk perspective
Jarrow, Robert A.; Purnanandam, Amiyatosh - In: Review of derivatives research 10 (2007) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10003705843
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Pricing derivatives on financial securities subject to credit risk
Jarrow, Robert A.; Turnbull, Stuart M. - In: Credit risk models and management, (pp. 333-374). 2004
Persistent link: https://www.econbiz.de/10002432611
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Practical usage of credit risk models in loan portfolio and counterparty exposure management: an update
Jarrow, Robert A.; Deventer, Donald R. van - In: Credit risk models and management, (pp. 573-597). 2004
Persistent link: https://www.econbiz.de/10002433486
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun - In: Review of derivatives research 25 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
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Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun; Wang, Xingchun - In: Review of derivatives research 24 (2021) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
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Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming; Tang, Dan; Wang, Xingchun - In: Review of derivatives research 26 (2023) 1, pp. 23-50
Persistent link: https://www.econbiz.de/10014266355