What Drives put-cds Spreads? Limits-to-Arbitrage or Investment Frictions
碩士 === 國立中興大學 === 財務金融學系所 === 104 === This study use deep out-of-the-money American put option in U.S. and credit default swap of corporate bond to calculate their price of contingent claims, and to see whether there is a spread between them. In addition, we cut the sample time into two periods: fin...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03339582770819957447 |