The Pricing and Hedging of Spot and Forward-Starting Collateralized Debt Obligations－via Default Contagion
碩士 === 國立暨南國際大學 === 財務金融學系 === 98 === In this paper we investigate the valuation and hedging issues of spot and forward-starting collateral debt obligations（CDOs） under the conditional independence assumption and default contagion effect. We use the factor model that describes the firm value by Laur...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12085876859275536071 |