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The numerical results show that the precise information assumption about the firm value and recovery rate in Klein model may lead to underestimate the credit risk on the values of vulnerable options. This study aims to provide insights for future research on defaultable options pricing under imprecise market information. <\/jats:p>","DOI":"10.1142\/s0218488518500083","type":"journal-article","created":{"date-parts":[[2018,2,1]],"date-time":"2018-02-01T07:22:01Z","timestamp":1517469721000},"page":"143-162","source":"Crossref","is-referenced-by-count":10,"title":["A Binomial Tree Approach to Pricing Vulnerable Option in a Vague World"],"prefix":"10.1142","volume":"26","author":[{"given":"Weijun","family":"Xu","sequence":"first","affiliation":[{"name":"School of Business Administration, South China University of Technology, Guangzhou, 510641, Guangdong, China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Guifang","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Business Administration, South China University of Technology, Guangzhou, 510641, Guangdong, China"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Xiaojian","family":"Yu","sequence":"additional","affiliation":[{"name":"School of Economics and Commerce, South China University of Technology, Guangzhou, 510006, Guangdong, China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"219","published-online":{"date-parts":[[2018,1,31]]},"reference":[{"key":"p_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"p_2","first-page":"449","volume":"2","author":"Merton R. 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