کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9726022 1477963 2005 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing counterparty default risks: Applications to FRNs and vulnerable options
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Pricing counterparty default risks: Applications to FRNs and vulnerable options
چکیده انگلیسی
This paper provides simple closed-form pricing models for floating-rate notes and vulnerable options under the counterparty risk framework of [Jarrow, R., Yu, F., 2001. Counterparty risk and the pricing of default risk. Journal of Finance 56, 1765-1799]. After deriving closed-form pricing models for them, this paper illustrates the impact of the default intensity of counterparty on the prices of floating-rate notes and vulnerable options. Numerical examples show that the default risk of counterparty is an important factor of the value of floating-rate notes and vulnerable options.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 14, Issue 3, 2005, Pages 376-392
نویسندگان
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