A Comparative Analysis of CDO Pricing Models
碩士 === 國立臺灣大學 === 國際企業學研究所 === 98 === The objective of this thesis is to provide a comparative analysis of four representative models in pricing CDOs. The models compared in this thesis are the Gaussian copula, one-factor Gaussian copula, normal inverse Gaussian copula, and the defaultable-CRR model...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66044702966498719567 |