On break-even correlation: the way to price structured credit derivatives by replication (Q4683100): Difference between revisions
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Revision as of 19:48, 19 April 2024
scientific article; zbMATH DE number 6939302
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On break-even correlation: the way to price structured credit derivatives by replication |
scientific article; zbMATH DE number 6939302 |
Statements
On break-even correlation: the way to price structured credit derivatives by replication (English)
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19 September 2018
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collateralized debt obligation
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dynamic hedging
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Gaussian copula
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structural Merton models
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