A Novel Lattice Model for Credit Risk Measurement with Hull-White Interest Rate Model
碩士 === 國立交通大學 === 財務金融研究所 === 97 === This paper suggests a novel two-dimensional lattice tree model “DFPM-HWT” that can evaluate the corporate bond when firm value and interest rates follow correlated stochastic processes. This lattice model can adjust its structure to fit stochastic default barrier...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/89326935513798105280 |