Notes on exact and semi-exact Lévy models for the valuation of CDOs (Q2786348)
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scientific article; zbMATH DE number 5789827
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| English | Notes on exact and semi-exact Lévy models for the valuation of CDOs |
scientific article; zbMATH DE number 5789827 |
Statements
21 September 2010
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CDOs
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correlated debt
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Lévy one-factor model
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Monte Carlo simulation
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control variates
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0.8926122
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0.8791175
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0.8789751
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0.87443334
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0.8646045
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0.86065304
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0.8597372
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Notes on exact and semi-exact Lévy models for the valuation of CDOs (English)
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