|
|||||
|
|
Analytical pricing formulae for vulnerable vanilla and barrier options |
|
| Authors: | Liu Liang-Chih Chiu Chun-Yuan Wang Chuan-Ju Dai Tian-Shyr Chang Hao-Han |
| Affiliation: | 1.Department of Information and Finance Management, National Taipei University of Technology, No. 1, Sec. 3, ZhongXiao E. Road, Taipei, 106, Taiwan ;2.Institute of Information Management, National Yang Ming Chiao Tung University, No. 1001 Ta Hsueh Road, Hsinchu, 300, Taiwan ;3.Research Center for Information Technology Innovation, Academia Sinica, No. 128 Academia Road, Sec. 2, Taipei, 115, Taiwan ;4.Department of Information Management and Finance, Institute of Finance, National Yang Ming Chiao Tung University, No. 1001 Ta Hsueh Road, Hsinchu, 300, Taiwan ;5.Institute of Finance, National Yang Ming Chiao Tung University, No. 1001 Ta Hsueh Road, Hsinchu, 300, Taiwan ; |
| Abstract: | Review of Quantitative Finance and Accounting - This paper proposes analytically vulnerable vanilla option pricing formulae that simultaneously consider the premature default, the correlation... |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |