Counterparty Risk of Covered Warrant:Application of Merton Jump Copula Model
碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 99 === In this paper, we analyze Taiwan Index European Covered Call Warrant which issued and expired between January 2009 and December 2010. We select the warrants of the same underlying assets at the time issued by different security firms in the above period and d...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/00194649292676785005 |