1Johnson H,Stulz R. The pricing of options with default risk[J].Journal of Finance,1987,(02):267-280.
2Merton R. On the pricing of corporate debt:The risk structure of interest rates[J].Journal of Finance,1974,(02):449-470.
3Hull J,White A. The impact of default risk on the prices of options and other derivative securities[J].Journal of Banking and Finance,1995,(02):299-322.
4Klein P C. Pricing Black-Scholes options with correlated credit risk[J].Journal of Banking and Finance,1996,(07):1211-1229.
5Manuel A. Credit risk Valuation-Methods.Models and Applications[M].New York:Springer-Verlag,2001.
6Hung M W,Liu Y H. Pricing vulnerable options in incomplete markets[J].Journal of Futures Markets,2005,(02):135-170.
7Chang L F,Hung M W. Valuation of vulnerable American options with correlated credit risk[J].Review of Derivatives Research,2006,(02):137-165.
5Merton R C. Option pricing when underlying stock returns are discontinuous[J]. Journal of Financial Economics, 1976, 3:125-144
6Farshid Jamshidian. Valuation default swaps and swaptions[J]. Finance and Stochastics, 2004, 8:343-371
7Black F, Scholes M. The pricing of options and corporate liabilitie-s [ J]. Journal of Political Economy. 1973, 81:637 - 659.
8Heston S. A Closed-Form solution for options with stochastic volatility with applications to bond and currency options [ J ]. Review of Financial Studies, 1993, 6 : 327 - 343.
9Ball C, Roma A. Stochastic volatility option pricing[ J]. Journal of Fina-ncial and Quantitative Analysis, 1994, 29:589 - 607.
10Wiggins J, Option values under stochastic volatility: theory and empirical Test[ J]. Journal of Financial Economics, 1987, 19:351 -377.
