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Binominal Changing Volatility Approach to Subprime Loan Problem
http://hdl.handle.net/10173/1754
http://hdl.handle.net/10173/1754c4888d0d-c4d9-49be-84fc-06f21b76a1f7
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
SMS09-137.pdf (131.9 kB)
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| Item type | 会議発表論文 / Conference Paper(1) | |||||||
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| 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
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| 抄録 | ||||||||
| 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 |
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| 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 | |||||||
