Efficient algorithms for basket default swap valuation
碩士 === 國立政治大學 === 統計研究所 === 97 === In contrast to a single name credit default swaps which provides credit protection for a single underlying, a basket credit default swap extends the credit protection to portfolio of obligors with the restriction that the default of only one underlying is compensat...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/28947997025774519487 |