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

Rong-xi Zhou, Sinan Du, Mei Yu, Fengmei Yang. Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market. J. Systems Science & Complexity, 28(6):1363-1373, 2015. [doi]

Abstract

Abstract is missing.