篇名 | Vulnerable Option Pricing under Heterogeneity and Its Applications in Taiwan Warrant Market |
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卷期 | 12:3 |
作者 | Yu-Hong Liu 、 I-Ming Jiang |
頁次 | 243-251 |
關鍵字 | Fuzzy Option 、 Heterogeneous Belief 、 Default 、 Credit Risk 、 EI 、 SCI 、 SCIE 、 Scopus |
出刊日期 | 201009 |
The European option pricing formula proposed by Black and Scholes in 1973 is a new milestone in financial field. However, many basic assumptions used to establish this pricing formula are unrealistic in real trading market. Though many researchers after Black and Scholes have proposed numerous solutions to resolve the drawback of Black-Scholes’ formula, few have mentioned the topics of heterogeneous beliefs of investors and the counterparty risk at the same time. This study proposes a new method to resolve these problems and then investigates the robustness of the formula by using the warrant in Taiwan stock market. The results clearly demonstrate how the proposed model leads to a straightforward extension of the existing asset pricing models in a fairly easy way.