Pricing of the seller-defaultable options.
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 Gr...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/08951653720659920053 |