Pricing Basket Default Swap with Spectral Decomposition
碩士 === 國立中山大學 === 財務管理學系研究所 === 95 === Cholesky Decomposition is usually used to deal with the correlation problem among a financial product''s underlying assets. However, Cholesky Decomposition inherently suffers from the requirement that all eigenvalues must be positive. Therefore, Chole...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/7ddsh5 |