BLACK F, SCHOLES M. The valuation of options and corporate liabilities[J]. Journal of Political Economy, 1973, 8: 637-659.
[2]
MERTON R C. On the pricing of corporate debt:the risk structure of interest rates[J]. Journal of Finance, 1974, 29: 449-470.
[3]
BLACK F, COX J. Valuing corporate securities: some effects of bond indenture provisions[J]. Journal of Finance, 1976, 11: 351-367.
[4]
LONGSTAFF F, SCHWARTZ E. A simple approach to valuing risky fixed and floating rate debt[J]. Journal of Finance, 1995, 50: 789-819.
[5]
YILDIRIM Y. Modeling default risk: a new structural approach[J]. Finance Research Letters, 2006, 3: 165-172.
[6]
MADAN D B, UNAL H. Pricing the risks of default[J]. Review of Derivatives Research, 1998(2): 121-160.
[7]
JONHNSON H, STULZ R. The pricing of options under default risk[J]. Journal of Finance, 1987, 42: 267-280.
[8]
LIU S I, LIU Y C. Pricing Vulnerable Options by Binomial Trees[R]//Working Paper. Taipei: Shih Hsin University, 2006.
[9]
KLEIN P, YANG J. Vulnerable American options[J]. Managerial Finance, 2010, 36: 414-430.
[10]
DUFFIE D, SINGLETON K. Modelling term structures of defaultable bonds[J]. Review of Financial Studies, 1996, 12: 687-720.
[11]
JARROW R, LANDO D, TURNBULL S. A Markov model for the term structure of credit spreads[J]. Review of Financial Studies, 1997(1): 481-523.
[12]
HULL J M, WHITE A. The impact of default risk on default risk on the prices of options and other dervative securities[J]. Journal of Banking and Finance, 1995, 19: 299-323.
[13]
KLEIN P. Pricing Black-Sholes potions with correlated credit risk[J]. Journal of Banking and Finance, 1996, 20: 1211-1229.
[14]
LOBO B J. Jump risk in the U.S.stock market: evidence using political information[J]. Review of Financial Economics, 1999(8): 147-163.
[15]
ZHOU C. The term structure of credit spread with jump risk[J]. Journal of Banking and Finance, 2001, 25: 2015-2040.