Fast Pricing of Basket Default Swaps
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Publication:3392172
DOI10.1287/opre.1070.0456zbMath1167.91364MaRDI QIDQ3392172
Paul Glasserman, Zhi-yong Chen
Publication date: 13 August 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6e62da372c44aa91626a97bf108361825426eff4
62P05: Applications of statistics to actuarial sciences and financial mathematics
93E20: Optimal stochastic control
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