https://scholars.lib.ntu.edu.tw/handle/123456789/414476
標題: | Pricing Stock Options with State-Dependent Jump-to-Default | 其他標題: | 狀態相依跳躍至違約模型下之股票選擇權定價 | 作者: | San-Lin Chung Chien-Ling Lo Pai-Ta Shih |
公開日期: | 四月-2017 | 卷: | 10 | 期: | 1 | 起(迄)頁: | 41 | 來源出版物: | 期貨與選擇權學刊 | 摘要: | Under a general equilibrium framework, this study derives an analytic solution for the prices of options on individual stocks with bankruptcy risk. Different from traditional jump-to-default models, a firm's default probability herein is state-dependent and negatively related to its future stock prices. Using the market implied volatility of 60 firms during 1996-2015, the empirical results show that our model significantly outperforms the traditional model in terms of option pricing fits. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414476 |
顯示於: | 財務金融學系 |
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