Pricing and Hedging Strategy for Options with Default and Liquidity Risk__臺灣人文及社會科學引文索引資料庫

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題名：	Pricing and Hedging Strategy for Options with Default and Liquidity Risk
書刊名：	Asia Pacific Management Review
作者：	Jiang, I-ming／Liu, Yu-hong／Feng, Zhi-yuan／Lai, Meng-kun
出版日期：	2012
卷期：	17:2
頁次：	頁127-144
主題關鍵詞：	Fuzzy measure theory；Vulnerable option；Liquidity risk；Credit risk；Non-identical rationality
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:26

This study applies fuzzy set theory to the vulnerable Black-Scholes (1973) or Merton (1973) formula. Expectations of heterogeneity mean option prices are expected to be imprecise, thus making it natural to consider fuzziness to handle this. This article presents a fuzzy approach to value Black-Scholes options subject to non-identical rationality and correlated credit risk. Although no analytical solution is available, this study employs a fuzzy approach to derive an approximate analytical expression for the upper and lower bounds of the European fuzzy vulnerable option price. Furthermore, the Greeks and hedging strategy of the proposed model are also provided in this article.

以文找文

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