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https://ah.lib.nccu.edu.tw/handle/140.119/71367
題名: | A Closed-Form Approximation for Valuing European Basket Warrants under Credit Risk and Interest Rate Risk | 作者: | 許永明 Shiu, Yung-Ming ; Chou, Pai-Lung ; Sheu, Jen-Wen |
貢獻者: | 風管系 | 關鍵詞: | Derivatives pricing;Derivatives securities;Stochastic interest rates;Credit risk;G1;G13 | 日期: | 2013 | 上傳時間: | 13-Nov-2014 | 摘要: | 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. | 關聯: | Quantitative Finance, 13(8), 1211-1223 | 資料類型: | article | DOI: | http://dx.doi.org/10.1080/14697688.2012.741693 |
Appears in Collections: | 期刊論文 |
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