https://scholars.lib.ntu.edu.tw/handle/123456789/414476
Title: | Pricing Stock Options with State-Dependent Jump-to-Default | Other Titles: | 狀態相依跳躍至違約模型下之股票選擇權定價 | Authors: | San-Lin Chung Chien-Ling Lo Pai-Ta Shih |
Issue Date: | Apr-2017 | Journal Volume: | 10 | Journal Issue: | 1 | Start page/Pages: | 41 | Source: | 期貨與選擇權學刊 | Abstract: | 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 |
Appears in Collections: | 財務金融學系 |
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