Pricing counterparty default risks: Applications to FRNs and vulnerable options

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dc.contributor.authorKang, Jangkooko
dc.contributor.authorKim H.-S.ko
dc.date.accessioned2008-05-21T06:44:36Z-
dc.date.available2008-05-21T06:44:36Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2005-
dc.identifier.citationINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.14, no.3, pp.376 - 392-
dc.identifier.issn1057-5219-
dc.identifier.urihttp://hdl.handle.net/10203/4617-
dc.description.abstractThis 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. ? 2004 Elsevier Inc. All rights reserved.-
dc.languageEnglish-
dc.language.isoen_USen
dc.publisherElsevier BV-
dc.titlePricing counterparty default risks: Applications to FRNs and vulnerable options-
dc.typeArticle-
dc.identifier.scopusid2-s2.0-20344373885-
dc.type.rimsART-
dc.citation.volume14-
dc.citation.issue3-
dc.citation.beginningpage376-
dc.citation.endingpage392-
dc.citation.publicationnameINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.nonIdAuthorKim H.-S.-
dc.subject.keywordAuthorCounterparty risk-
dc.subject.keywordAuthorCredit risk-
dc.subject.keywordAuthorFloating-rate note-
dc.subject.keywordAuthorVulnerable option-
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