Concepedia

Counterparty credit risk and derivatives pricing

Gang Li, Chu Zhang

Journal of Financial Economics · 2019 · 18 citations · 36 references

DOIFull text

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References

36

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

Pricing Derivatives on Financial Securities Subject to Credit Risk

Robert A. Jarrow, Stuart M. Turnbull · The Journal of Finance · 1995 · 2K citations

, , +17

The jump-risk premia implicit in options: evidence from an integrated time-series study

Jun Pan · Journal of Financial Economics · 2002 · 1.8K citations

, , +14

Post-'87 crash fears in the S&P 500 futures option market

David S. Bates · Journal of Econometrics · 2000 · 1.5K citations

, , +16

Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

Bjørn Eraker · The Journal of Finance · 2004 · 1.2K citations · Full text

, , +17