Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/71367
DC Field | Value | Language |
---|---|---|
dc.contributor | 風管系 | en_US |
dc.creator | 許永明 | zh_TW |
dc.creator | Shiu, Yung-Ming ; Chou, Pai-Lung ; Sheu, Jen-Wen | en_US |
dc.date | 2013.08 | en_US |
dc.date.accessioned | 2014-11-13T06:49:58Z | - |
dc.date.available | 2014-11-13T06:49:58Z | - |
dc.date.issued | 2014-11-13T06:49:58Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/71367 | - |
dc.description.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. | en_US |
dc.format.extent | 783666 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en_US | - |
dc.relation | Quantitative Finance, 13(8), 1211-1223 | en_US |
dc.subject | Derivatives pricing;Derivatives securities;Stochastic interest rates;Credit risk;G1;G13 | en_US |
dc.title | A Closed-Form Approximation for Valuing European Basket Warrants under Credit Risk and Interest Rate Risk | en_US |
dc.type | article | en |
dc.identifier.doi | 10.1080/14697688.2012.741693 | en_US |
dc.doi.uri | http://dx.doi.org/10.1080/14697688.2012.741693 | en_US |
item.grantfulltext | restricted | - |
item.openairetype | article | - |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.languageiso639-1 | en_US | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
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File | Description | Size | Format | |
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1211-1223.pdf | 765.3 kB | Adobe PDF2 | View/Open |
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