English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25837332      Online Users : 228
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/71367

    Title: A Closed-Form Approximation for Valuing European Basket Warrants under Credit Risk and Interest Rate Risk
    Authors: 許永明
    Shiu, Yung-Ming;Chou, Pai-Lung;Sheu, Jen-Wen
    Contributors: 風管系
    Keywords: Derivatives pricing;Derivatives securities;Stochastic interest rates;Credit risk;G1;G13
    Date: 2013.08
    Issue Date: 2014-11-13 14:49:58 (UTC+8)
    Abstract: Over the past few years, many financial institutions have actively traded basket warrants in the over-the-counter market. Prior research has proposed an approach to valuing single-stock options subject to credit. However, this approach cannot be applied directly to the case of basket warrants. Using the martingale method, we propose a closed-form approximation for valuing European basket warrants using a continuous-time model, with credit risk and interest rate risk considered simultaneously. Finally, several numerical examples are utilized to demonstrate the characteristics of basket warrants under credit risk.
    Relation: Quantitative Finance, 13(8), 1211-1223
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/14697688.2012.741693
    DOI: 10.1080/14697688.2012.741693
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    1211-1223.pdf765KbAdobe PDF1018View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback