Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11424-015-3147-8.pdf
Reference16 articles.
1. Longstaff F A and Schwartz E S, Valuing credit derivatives, The Journal of Fixed Income, 1995, 6: 6–3.
2. Tahani N, Credit Spread Option Valuation under CARCH, HEC Montreal, 2000.
3. Giacometti R and Teocchi M, On pricing of credit spread options, European Journal of Operational Research, 2005, 163: 52–3.
4. Wu J L and Yang W, Pricing CDO tranches in an intensity based model with the mean reversion approach, Mathematical and Computer Modelling, 2010, 52: 814–3.
5. Chiarella C, Fanelli V, and Musti S, Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model, European Journal of Operational Research, 2011, 208: 95–3
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