Pricing Credit Spread Option with Longstaff-Schwartz and GARCH Models in Chinese Bond Market

ZHOU Rongxi,DU Sinan,YU Mei,YANG Fengmei

系统科学与复杂性(英文) ›› 2015, Vol. 28 ›› Issue (6) : 1363-1373.

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系统科学与复杂性(英文) ›› 2015, Vol. 28 ›› Issue (6) : 1363-1373. DOI: 10.1007/s11424-015-3147-8

Pricing Credit Spread Option with Longstaff-Schwartz and GARCH Models in Chinese Bond Market

    ZHOU Rongxi1 , DU Sinan1 , YU Mei2 , YANG Fengmei3
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Pricing Credit Spread Option with Longstaff-Schwartz and GARCH Models in Chinese Bond Market

    ZHOU Rongxi1 , DU Sinan1 , YU Mei2 , YANG Fengmei3
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{{article.zuoZheCn_L}}. {{article.title_cn}}. {{journal.qiKanMingCheng_CN}}, 2015, 28(6): 1363-1373 https://doi.org/10.1007/s11424-015-3147-8
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}, 2015, 28(6): 1363-1373 https://doi.org/10.1007/s11424-015-3147-8
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