The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Recursive valuation of defaultable securities and the timing of resolution of uncertainty
Open accessAbstract
We derive the implications of default risk for valuation of securities in an abstract setting in which the fractional default recovery rate and the hazard rate for default may depend on the market value of the instrument itself, or on the market values of other instruments issued by the same entity (which are determined simultaneously). A key technique is the use of backward recursive stochastic integral equations. We characterize the dependence of the market value on the manner of resolution of uncertainty, and in particular give conditions for monotonicity of value with respect to the information filtration.
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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
On cox processes and credit risky securities
Lando, D. (1998) · Review of Derivatives Research · doi:10.1007/bf01531332 · Cited by 1,208
Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates
MILTERSEN, K. R., SANDMANN, K., & SONDERMANN, D. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03823.x · Cited by 561
Metadata
- Authors
- Duffie, D., Schroder, M., & Skiadas, C.
- Venue
- The Annals of Applied Probability
- Publisher
- Institute of Mathematical Statistics
- Published
- 1996-11-01
- Volume
- 6
- Issue
- 4
- Pages
- 1075-1090
- ISSN
- 1050-5164 (ISSN-L)
- OpenAlex
- W1978577723
- Cited by
- 232
- References
- 1
- FWCI
- 11.65
- Type
- journal article
- Language
- en
- Open access
- bronze
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- CoChat. (2026). Citation check: Recursive valuation of defaultable securities and the timing of resolution of uncertainty. https://app.cochat.ai/papers/10.1214/aoap/1035463324
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- Duffie, D., Schroder, M., & Skiadas, C. (1996). Recursive valuation of defaultable securities and the timing of resolution of uncertainty. The Annals of Applied Probability. https://doi.org/10.1214/aoap/1035463324
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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).
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