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  1. SSMSパブリケーション
  2. Vol.05

Binominal Changing Volatility Approach to Subprime Loan Problem

http://hdl.handle.net/10173/1754
http://hdl.handle.net/10173/1754
c4888d0d-c4d9-49be-84fc-06f21b76a1f7
名前 / ファイル ライセンス アクション
SMS09-137.pdf SMS09-137.pdf (131.9 kB)
Item type 会議発表論文 / Conference Paper(1)
公開日 2018-02-06
タイトル
タイトル Binominal Changing Volatility Approach to Subprime Loan Problem
言語
言語 eng
キーワード
主題Scheme Other
主題 Subprime Loan Problem
キーワード
主題Scheme Other
主題 Binominal Option
キーワード
主題Scheme Other
主題 Volatility
資源タイプ
資源タイプ識別子 http://purl.org/coar/resource_type/c_5794
資源タイプ conference paper
著者 Watanabe, Yasuaki

× Watanabe, Yasuaki

Watanabe, Yasuaki

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内容記述タイプ Abstract
内容記述 Recently, subprime loan problem is a hotly debated issue around the world. In this paper, binominal option approach is adopted to surmise the binominal option value of ABX.HE Index1 by changing its volatility. A nonrecombining lattice is required to solve the option. Suppose that the current value of ABX.HE Index is US$α ,its annual volatility isβ percent, risk free rate isγ percent. We can calculate the value of a three year option to abandon for a price of US$δ. We simulate the change of solution when the annual volatility changes through time. We notice there is a tendency that higher credit ratings and worse scenarios have a leeway of more flexibility. Especially, we can find out the significant difference between second quarter and third quarter. Apparently, we can see the tendency that higher credit ratings indexes are highly correlated with lower credit ratings indexes.
書誌情報 Society for Social Management Systems Internet Journal

巻 5, 号 1, 発行日 2009-03
ISSN
収録物識別子タイプ ISSN
収録物識別子 2432-552X
著者版フラグ
出版タイプ VoR
出版タイプResource http://purl.org/coar/version/c_970fb48d4fbd8a85
出版者
出版者 Society for Social Management Systems
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