Highly Influential Citations0
Claim Your Author Page
Ensure your research is discoverable on Semantic Scholar. Claiming your author page allows you to personalize the information displayed and manage publications (all current information on this profile has been aggregated automatically from publisher and metadata sources).
This paper presents a method of pricing credit spread option on the basis of multiple factors affine term structure model of interest rates with Kalman filter and Monte Carlo simulation. In this way,… Continue Reading