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The Pricing of Options with Default Risk |
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| Authors: | HERB JOHNSON,REN STULZ |
| Affiliation: | HERB JOHNSON,RENÉ STULZ |
| 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. |
| Keywords: | |