PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY - Linetsky, Vadim (Mathematical finance, 2006)
Keywords: Asian options; Bankruptcy; Brownian exponential functionals; Corporate bonds; Corporate debt; Credit; Credit risk; credit spread; Derivatives; Differential equations; Financial economics; Financial models; hazard rate; implied volatility skew; Mathematical economics; Mathematical models; Options on stocks; Risk management; Schrödinger operator with Morse potential; Securities prices; spectral expansions; Statistical analysis; Stochastic models; Stock options; Studies; Volatility