We are especially grateful to P. Glasserman for many insightful discussions. We thank P. Carr, M. Dempster, T. Hurd, D. Hobson, M. Jeanblanc, G. Petrella, and J. Zhu for helpful comments. We thank three referees and the editor R. Jarrow for their suggestions. We are also grateful to many people who offered insights into this work, including seminar participants at Columbia University, Princeton University, New York University, University of Cambridge, University of Oxford, University of Essex; and conference participants at INFORMS annual meeting, 2004, and Financial Modeling Conference at University of Montreal, 2005. Part of this research is conducted when SK visited the Issac Newton Institute, University of Cambridge, under a research fellowship from the European Commission.
CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
Version of Record online: 26 JUN 2009
© Copyright the Authors. Journal Compilation © 2009 Wiley Periodicals, Inc.
Volume 19, Issue 3, pages 343–378, July 2009
How to Cite
Chen, N. and Kou, S. G. (2009), CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK. Mathematical Finance, 19: 343–378. doi: 10.1111/j.1467-9965.2009.00375.x
- Issue online: 26 JUN 2009
- Version of Record online: 26 JUN 2009
- Manuscript received July 2005; final revision received December 2007.
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!