| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | 許永明 | zh_TW |
| dc.creator (作者) | Shiu, Yung-Ming ; Chou, Pai-Lung ; Sheu, Jen-Wen | en_US |
| dc.date (日期) | 2013.08 | en_US |
| dc.date.accessioned | 13-Nov-2014 14:49:58 (UTC+8) | - |
| dc.date.available | 13-Nov-2014 14:49:58 (UTC+8) | - |
| dc.date.issued (上傳時間) | 13-Nov-2014 14:49:58 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/71367 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 783666 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Quantitative Finance, 13(8), 1211-1223 | en_US |
| dc.subject (關鍵詞) | Derivatives pricing;Derivatives securities;Stochastic interest rates;Credit risk;G1;G13 | en_US |
| dc.title (題名) | A Closed-Form Approximation for Valuing European Basket Warrants under Credit Risk and Interest Rate Risk | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1080/14697688.2012.741693 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1080/14697688.2012.741693 | en_US |
