The application of contagion effect and stochastic recovery rate to the dynamic model for pricing CDO derivative
碩士 === 國立臺北大學 === 統計學系 === 97 === Since the end of 2007, the world economic faced a great misfortune. The simple dynamic model which provide in Hull & White (2008) can not fit the market quotes very well. Then we think the contagion effect exist during the economic storm. In our result the effec...
| 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/44450810295216158887 |