| Summary: | 碩士 === 國立東華大學 === 公司理財碩士學位學程 === 97 === This dissertation examines the pricing of seller-defaultable European options which the seller has to pay a fine for his defaulted behavior to the holder. We firstly decompose this derivative into two vanilla call options, and price the option and calculate Greeks through the martingale methodology. The seller’s default probability and buyer’s profits and costs are also studied in this dissertation. Finally, the closed-form solutions of this option and price characteristics are nvestigated by numerical analysis method.
The main results are found and described as follows. The premiuma of seller-defaultable options have positive relationships with seller's default fine, the market price of underlying asset, return volatility of the underlying asset. In addition,Greeks of the seller-defaultable options are less than vanilla option’s. It benefits to the option issues on the saving of hedging costs. The price of the underlying asset,risk-free interest rate, the volatility of the underlying asset and maturity time affect the seller’s defaulted probability in a positive way. On the contrary, the defaulted fine and strike price are reversal. Subject to the defaulted mechanism, buyers’ trading faces the trade-off between the profits and costs.
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