Valuing credit spread options under stochastic volatility/interest rates
This thesis studies the pricing of credit spread options in a continuous time setting. Our main examples are credit spreads between US government bonds and highly risky emerging market bonds, such as Argentina, Brazil, Mexico, etc. Based on empirical findings we model the credit spread options as a...
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London School of Economics and Political Science (University of London)
2003
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.407904 |