错误
不完全市场
经济
完备性(序理论)
利率
金融经济学
精算学
期权估价
市场价格
伦德曼-巴特模型
数理经济学
计量经济学
微观经济学
波动性(金融)
货币经济学
数学
法学
数学分析
政治学
作者
Mao Wei Hung,Yu Hong Liu
摘要
Abstract This paper follows the framework of P. Klein (1996) to price vulnerable options when the market is incomplete. Vulnerable options, which are usually traded in the over‐the‐counter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options under the assumption of market completeness, as was done by H. Johnson and R. Stulz (1987) and P. Klein (1996), seems to be a mistake. Accordingly, the proposed model uses the methodology proposed by J. H. Cochrane and J. Saá‐Requejo (2000) to price vulnerable options under both deterministic and stochastic interest rates in an incomplete market. The model is found to perform well when the interest rate is stochastic. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:135–170, 2005
科研通智能强力驱动
Strongly Powered by AbleSci AI