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題名:Valuation of Vulnerable Options and Risky Debts under Different Seniority Status
書刊名:期貨與選擇權學刊
作者:劉任昌 引用關係葉馬可 引用關係
作者(外文):Liu, Jen-changYeats, Mark
出版日期:2014
卷期:7:3
頁次:頁25-45
主題關鍵詞:風險性債券風險性選擇權債權順位蒙地卡羅模擬Defaultable bondVulnerable optionSeniority statusMonte Carlo simulation
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:10
期刊論文
1.Cao, Melanie、Wei, Jason(2001)。Vulnerable Options, Risky Corporate Bond, and Credit Spread。Journal of Futures Markets,21(4),301-327。  new window
2.Chang, L. F.、Hung, M. W.(2006)。Valuation of Vulnerable American Options with Correlated Credit Risk。Review of Derivative Research,9(2),137-165。  new window
3.Episcopos, A.(2004)。Contingent Claims Valuation when Capital Structure Includes Options Liability。Journal of Derivatives,11(4),21-32。  new window
4.Harrison, J. Michael、Kreps, David M.(1979)。Martingale and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory,20(3),381-408。  new window
5.Huang, H. M.、Yildirim, Y.(2008)。Leverage, Options Liabilities, and Corporate Bond Pricing。Review of Derivatives Research,11(3),245-276。  new window
6.Hull, John C.、White, Alan(1995)。The Impact of Default Risk on the Valuation of Options and other Derivative Securities。Journal of Banking and Finance,19(2),299-322。  new window
7.Klein, Peter、Inglis, Michael(2001)。Pricing Vulnerable Options when the Option's Payoff Can Increase the Risk of Financial Distress。Journal of Banking and Finance,5(5),993-1012。  new window
8.Klein, P.、Yang, J.(2013)。Counterparty Credit Risk and American Options。Journal of Derivatives,20(4),7-21。  new window
9.Xu, W. D.、Xu, W. J.、Li, H. Y.、Xiao, W. L.(2012)。A Jump-Diffusion Approach to Modelling Vulnerable Option Pricing。Finance Research Letters,9(1),48-56。  new window
10.Liao, S. L.、Huang, H. H.(2005)。Pricing Black-Scholes Options with Correlated Interest Rate Risk and Credit Risk: An Extension。Quantitative Finance,5(5),443-457。  new window
11.Johnson, Herb、Stulz, Rene(1987)。The Pricing of Options with Default Risk。Journal of Finance,42(2),267-280。  new window
12.Klein, Peter(1996)。Pricing Black-Scholes Options with Correlated Credit Risk。Journal of Banking and Finance,20(7),1211-1229。  new window
13.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance,50(1),53-85。  new window
14.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。  new window
15.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
16.Leland, Hayne E.、Toft, Klaus Bjerre(1996)。Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads。Journal of Finance,51(3),987-1019。  new window
圖書
1.Lyuu, Yuh-Dauh(2002)。Financial Engineering and Computation: Principles, Mathematics and Algorithms。Cambridge:Cambridge University Press。  new window
2.Hull, J. C.(2000)。Options, Futures, and Other Derivatives。Prentice-Hall。  new window
其他
1.The Wall Street Journal(20140630)。GM Unveils Recall Compensation Plan,http://online.wsj.com/articles/gm-compensation-plan-to-offer-payments-for-recalled-caraccidents-1404136801。  new window
 
 
 
 
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