CB Asset Swap
碩士 === 國立中央大學 === 財務金融研究所 === 90 === Abstract A CB Asset SWAP is now very popular in the market and it involves the IRS. In the pricing process, there does not exist a proper credit spread for the credit premium. We show in the paper a way to forecast the credit spread with the use of a Markov chain...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45689106434385041493 |