Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market (Q256747)
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scientific article; zbMATH DE number 6553049
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| English | Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market |
scientific article; zbMATH DE number 6553049 |
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Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market (English)
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10 March 2016
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credit spread option
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Longstaff-Schwartz model
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GARCH model
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pricing
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0.8303115963935852
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0.7476528286933899
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0.7298209071159363
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0.7258043885231018
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