Journal of Mathematical Finance

Vol.7 No.2(2017), Paper ID 76693, 22 pages

DOI:10.4236/jmf.2017.72024

 

A Stochastic Correlation Model with Time Change for Pricing Credit Spread Options

 

Zhigang Tong, Allen Liu

 

Department of Mathematics and Statistics, University of Ottawa, Ottawa, Canada
Model Validation, Enterprise Risk and Portfolio Management, Bank of Montreal, Toronto, Canada

 

Copyright © 2017 Zhigang Tong, Allen Liu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Tong, Z. and Liu, A. (2017) A Stochastic Correlation Model with Time Change for Pricing Credit Spread Options. Journal of Mathematical Finance, 7, 445-466. doi: 10.4236/jmf.2017.72024.

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