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Mertons model, credit risk and volatility skews

Longstaff, F. A., and Schwartz, E. (1995). A simple approach to valuing risky fixed and floating debt. Journal of Finance 50, 789819.

Longstaff, F. A., Mithal, S., and Neis, E. (2003). Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market. Forthcoming in Journal of Finance.

Merton, R. C. (1974). On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29, 44970.

Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 3, 12544.

Rodriguez, R. J. (1988). Default risk, yield spreads, and time to maturity. Journal of Financial and Quantitative Analysis 23, 11117.

Rubinstein, M. (1994). Implied binomial trees. Journal of Finance 49, 771818.

Research papers

www.journalofcreditrisk.com

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