The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The Pricing of Options with Default Risk
Abstract
This paper considers the pricing of options with default risk. The comparative statics of such options can differ from those of ordinary options, and early exercise of such American call options can be optimal. Several examples of options with default risk are considered.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
The impact of default risk on the prices of options and other derivative securities
Hull, J., & White, A. (1995) · Journal of Banking & Finance · doi:10.1016/0378-4266(94)00050-d · Cited by 324
Pricing Black-Scholes options with correlated credit risk
Klein, P. (1996) · Journal of Banking & Finance · doi:10.1016/0378-4266(95)00052-6 · Cited by 269
Metadata
- Authors
- JOHNSON, H., & STULZ, R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1987-06
- Volume
- 42
- Issue
- 2
- Pages
- 267-280
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2107711400
- Cited by
- 343
- References
- 1
- FWCI
- 7.63
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: The Pricing of Options with Default Risk. https://app.cochat.ai/papers/10.1111/j.1540-6261.1987.tb02567.x
- The paper
- JOHNSON, H., & STULZ, R. (1987). The Pricing of Options with Default Risk. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1987.tb02567.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
