Pricing CDOs with One Factor Double Mixture Distribution Copula Model
碩士 === 國立政治大學 === 統計研究所 === 96 === This article extends the Large Homogeneous Portfolio (LHP) and one factor double Gaussian copula approach for pricing CDOs. In the literature, the one factor double Gaussian copula model under LHP assumption fails to fit the prices of CDO tranches, moreover, it lea...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96713016205022078404 |