A multinomial tree model for pricing credit default swap options

Yi-Ping Chang, Ming-Chin Hung () and Yi-Chen Ko

Computational Statistics, 2011, vol. 26, issue 1, 95-120

Keywords: Credit default swap; Option Multinomial tree; Moment matching (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s00180-010-0212-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:26:y:2011:i:1:p:95-120

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/180/PS2

DOI: 10.1007/s00180-010-0212-6

Access Statistics for this article

Computational Statistics is currently edited by Wataru Sakamoto, Ricardo Cao and Jürgen Symanzik

More articles in Computational Statistics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().