Αποτίμηση παραγώγων προϊόντων επί χρηματοοικονομικών τίτλων που υπόκεινται σε πιστωτικό κίνδυνο
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Subject
Χρηματοοικονομικά παράγωγα ; ΟμόλογαKeywords
Ληκτότητα ; Ομόλογο μηδενικού τοκομεριδίου ; Ομόλογο χωρίς πιστωτικό κίνδυνο ; Ομόλογο ΧΥΖ με πιστωτικό κίνδυνοAbstract
This thesis presents valuation models of financial derivatives which are related to securities with probability of default. Specifically, it studies the influence of the bankruptcy factor in the price of an option when the underlying used is either the sovereign debt of America, a title with no risk of bankruptcy, or bonds of the same country companies with a rating of Aˉ, BBB +, BBB. Firstly, there is an analysis of the influence the presence or absence of different coupons have on the price of these bonds, as well as on the price of the options referred to them. For option pricing on the government bond we use the model Black Derman Toy developed in «One-Factor Model of Interest Rates and Its Application to Treasury Bond Options»
(1990). For option pricing on corporate bonds with credit risk, the model that is used was presented by Robert A. Jarrow and Stuart M. Turnbull in «Pricing Derivatives on Financial Securities Subject to Credit Risk» (1991). Both models are implemented in discrete time and by the means of the corresponding binomial trees and their pseudo-probabilities. All options are American.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
75Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές