Return to search

Derivative pricing based on time series models of default probabilities

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.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0802106-185343
Date02 August 2006
CreatorsChang, Kai-hsiang
ContributorsRay-Bing Chen, Fu-Chuen Chang, Mei-Hui Guo, Mong-Na Lo Huang
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0802106-185343
Rightsunrestricted, Copyright information available at source archive

Page generated in 0.0016 seconds