The Pricing of Options with Default Risk
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- Author(s): HERB JOHNSON, RENÉ STULZ
- Published: Apr 30, 2012
- Pages: 267-280
- DOI: 10.1111/j.1540-6261.1987.tb02567.x
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.