Pricing Credit Default Swap with Jump-diffusion Process and Stochastic Interset Rate
碩士 === 國立交通大學 === 財務金融研究所 === 94 === This thesis suggests that asset value satisfies jump-diffusion process and that risk-free rate follows CIR process is the CDS assessment model. It also points out the way to obtain the approximate formula to the probability of default and CDS spread from the Lapl...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58271296266302698549 |