Saddlepoint Approximation for Pricing and Hedging Synthetic CDO
碩士 === 國立中央大學 === 財務金融研究所 === 96 === This paper utilizes the saddlepoint approximation method to calculate loss distribution in the one factor Gaussian copula model, and evaluates the fair spread and mark-to-market of CDO tranches. Moreover, we analyze the sensitivity of the fair tranche spread to t...
| 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/28134961127485742006 |