Pricing American credit default swap options with least-square monte carlo simulation
碩士 === 國立政治大學 === 金融研究所 === 96 === The most liquid European CDS options are usually of short maturities. This may result from that options with longer maturity have to bear more default risk of the reference company. American CDS options allow the holders to exercise options before option matures so...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/76515671584425459378 |