A Pricing Model for Credit Spread Option with Stochastic Volatility
碩士 === 國立高雄第一科技大學 === 金融研究所 === 100 === This paper refers to Duffie and Singleton (1995) to value the Credit Spread Options. We further incorporate stochastic volatility into the model to capture the structure of hazard rate. Through the Monte Carlo Simulation, we obtain the price of Credit Spread O...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37697642450656423403 |