PricingforFirst-to-DefaultCreditDefaultSwapwithCopula
碩士 === 國立政治大學 === 經濟研究所 === 94 === 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 distri...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/85709568419428551984 |