Thanks. So confused. For Monte carlo method , each node has to add OAS to compensate for the optionality. while OAS already dedcucted the Optionality and leaves only (liquidity +credit risk). if they value the bond with option , they should keep the optionlity in the spead to compensate for the risk, why use OAS ( without the otptionlity).
Really appreciate your time. please add some comments |
发表于 2013-4-19 23:33
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