CDSwaption Pricing under Gram-Charlier Expansion
碩士 === 東吳大學 === 商用數學系 === 96 === Closed-form solution in pricing a European CDSwaption can be reached by using a modification of Black's (1976) model. In the pricing of a Bermudan CDSwaption, by assuming that the forward CDS credit spread are log-normally distributed, Tucker and Wei (2005) illu...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/2f6w8u |