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Pricing for a basket of LCDS under fuzzy environments

This paper looks at both the prepayment risks of housing mortgage loan credit default swaps (LCDS) as well as the fuzziness and hesitation of investors as regards prepayments by borrowers. It further discusses the first default pricing of a basket of LCDS in a fuzzy environment by using stochastic a...

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Detalles Bibliográficos
Autores principales: Wu, Liang, Liu, Jie-fang, Wang, Jun-tao, Zhuang, Ya-ming
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2016
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5055527/
https://www.ncbi.nlm.nih.gov/pubmed/27795890
http://dx.doi.org/10.1186/s40064-016-3420-x