The term structure of credit spread with jump risk and information uncertainty
碩士 === 國立交通大學 === 財務金融研究所 === 102 === Both the model of information asymmetry and jump diffusion model can explain the situation that short-term credit spreads would close to zero (Merton.1974 and Black and Cox.1976). The feature between the model of information asymmetry and jump diffusion deserve...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ftp6ea |