Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market.

Rong-Xi Zhou Sinan Du Mei Yu Fengmei Yang

Published in: J. Syst. Sci. Complex. (2015)

Keyphrases

option pricing
garch model
stock price
chinese stock market
stock market
black scholes
black scholes model
financial markets
decision analysis
financial data
spot market
real option
credit risk
short term
sar images
multivariate time series
multiresolution
credit card
pricing strategies
pricing model
non stationary