Valuing Seller-Defaultable Options
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JIN-RAY LU; YI-CHUN CHEN; CHIH-CHIANG HWANG; YI-CHUN TING
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Article
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2012
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John Wiley and Sons
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English
β 880 KB
This study analyzes sellerβdefaultable options that allow option writers to have a freeβwill right to default, along with some prespecified default mechanisms. We analytically and numerically examine the pricing, hedging, defaulting, and profitability of the sellerβdefaultable options, considering t