Pricing Vulnerable Options Subject to Stochastic Evolution of Writer''s Assets and Liabilities
碩士 === 國立臺灣大學 === 數學研究所 === 94 === This paper presents both closed-form formulas and binomial tree algorithms to evaluate vulnerable derivatives. The payoff function extends mainly from the Klein (1996) and the Ammann (2001) credit risk frameworks. Three stochastic processes -- the underlying stock...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30819179234688348463 |