DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Kim H.-S. | ko |
dc.date.accessioned | 2008-05-21T06:44:36Z | - |
dc.date.available | 2008-05-21T06:44:36Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2005 | - |
dc.identifier.citation | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.14, no.3, pp.376 - 392 | - |
dc.identifier.issn | 1057-5219 | - |
dc.identifier.uri | http://hdl.handle.net/10203/4617 | - |
dc.description.abstract | 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. ? 2004 Elsevier Inc. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en_US | en |
dc.publisher | Elsevier BV | - |
dc.title | Pricing counterparty default risks: Applications to FRNs and vulnerable options | - |
dc.type | Article | - |
dc.identifier.scopusid | 2-s2.0-20344373885 | - |
dc.type.rims | ART | - |
dc.citation.volume | 14 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 376 | - |
dc.citation.endingpage | 392 | - |
dc.citation.publicationname | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Kim H.-S. | - |
dc.subject.keywordAuthor | Counterparty risk | - |
dc.subject.keywordAuthor | Credit risk | - |
dc.subject.keywordAuthor | Floating-rate note | - |
dc.subject.keywordAuthor | Vulnerable option | - |
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