کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085162 | 1477937 | 2011 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Synthetizing a debt guarantee: Super-replication versus utility approach
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper compares two strategies for replicating a put option used to synthetize a debt guarantee contract. The first strategy, super-replication, while maintaining the portfolio value greater or equal to a target value, minimizes the transaction cost of replicating a debt insurance put option by using dynamic linear programming. The second strategy replicates this put option by maximizing the guarantor's expected utility. A comparative study shows that both strategies give better results than the Leland (1985) method. If we use a risk-adjusted performance metric, the utility-based method performs best when transaction costs are relatively low. When transaction costs are relatively high, the two strategies yield similar results and still outperform Leland's.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 20, Issue 1, January 2011, Pages 27-40
Journal: International Review of Financial Analysis - Volume 20, Issue 1, January 2011, Pages 27-40
نویسندگان
Sébastien Jacques, Van Son Lai, Issouf Soumaré,