Mark-to-model for cash CDOs through indifference pricing (Q2893072)
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scientific article; zbMATH DE number 6049735
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Mark-to-model for cash CDOs through indifference pricing |
scientific article; zbMATH DE number 6049735 |
Statements
Mark-to-model for cash CDOs through indifference pricing (English)
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25 June 2012
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credit derivatives
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utility indifference
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Lévy process
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valuations
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0.7635325789451599
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0.7204425930976868
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0.7188650965690613
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0.7180953025817871
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0.7160153985023499
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