Pricing for First-to-Default Credit Default Swap with Copula
The first-to-default Credit Default Swap (CDS) with multiple assets is priced when the default barrier is changing over time, which is contrast to the assumption in most of the structural-form models. The survival function of each asset follows the lognormal distribution and the interest rate is con...
| Main Authors: | , |
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| Language: | 英文 |
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國立政治大學
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| Subjects: | |
| Online Access: | http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0932580151%22. |