Credit-Risk Term Structure of Interest Rate: Application on Put Option and Cap
碩士 === 國立臺灣科技大學 === 企業管理系 === 90 === Concern with increasing bankruptcy problems in practice, the credit risk of counterparty default has been paid attention for pricing financial assets. This article bases on two Markov processes, Hull-White model and Jarrow-Turnbull model, to develop a risky term...
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| Format: | Others |
| Language: | en_US |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/32003713104991207441 |