The Pricing of Single-name Credit Derivatives by the Credit Market Model with Jumps
碩士 === 國立交通大學 === 財務金融研究所 === 94 === This paper describes the pricing of credit default swaps (CDS) and credit default swaptions using market model with jumps. We propose a jump-diffusion credit market model that treats the CDS spread as the major variable to value a credit default swaption, in whic...
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| Format: | Others |
| Language: | en_US |
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2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/44024816492467919033 |