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VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
Black formula credit default index swap Credit default swap credit default swaption hedging
2011/8/22
The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special ...
Efficient swaptions price in Hull-White one factor model
Efficient swaptions price factor model
2010/10/29
The Hull-White one factor model is used to price interest rate options. The parameters
of the model are often calibrated to simple liquid instruments, in particular European
swaptions. It is therefo...