Valuation of Double-Barrier Credit Spread Option- The Hybrid Approach
碩士 === 國立成功大學 === 財務金融研究所 === 94 === This paper uses the combination of the Laplace transformation and the finite difference method to value the double-barrier credit spread option. The major advantage of the combination method over the finite difference method is that the Laplace transformation wil...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18507102674925804178 |