The Pricing of Options with Default Risk
研究具有违约风险的期权定价，发现其比较静态分析与普通期权不同，且美式看涨期权提前行权可能最优，并给出了几个实例。
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.