In recent years, people pay much attention to
derivative pricing subject to credit risk. In this paper, we proposed an autoregressive time series model of log odds ratios to price derivatives. Examples of the proposed model are given via the structural and reduced form approaches. Pricing formulae of the proposed time series models are derived for bonds and options. Furthermore, simulation studies are performed to confirm the accuracy of derived formulae.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0802106-185343 |
| Date | 02 August 2006 |
| Creators | Chang, Kai-hsiang |
| Contributors | Ray-Bing Chen, Fu-Chuen Chang, Mei-Hui Guo, Mong-Na Lo Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0802106-185343 |
| Rights | unrestricted, Copyright information available at source archive |
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