Pricing Credit Default Swaption Using a Multinomial Tree
碩士 === 東吳大學 === 商用數學系 === 96 === (1) Recently, the markets in credit default swaps (CDS) and its corresponding CDS option (CDSwaption) have grown rapidly. When the forward CDS midrate is log-normally distributed, one can price the European CDSwaptions with closed-form solution by using a modifica...
| 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/cgeeuj |