Pricing and Hedging Non-Standardized Synthetic CDO Tranches
碩士 === 國立中央大學 === 財務金融研究所 === 94 === With the development of synthetic CDO standardized tranches, in order to fit in different investors’ risk preference, we try to value and hedge non-standardized tranches which are combined with market quotes of standardized ones. In this paper, we select a set of...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/27465111043827241008 |