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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/71367

Please use this identifier to cite or link to this item: https://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

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