CDO pricing with nested Archimedean copulas (Q3005366)
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scientific article; zbMATH DE number 5904940
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CDO pricing with nested Archimedean copulas |
scientific article; zbMATH DE number 5904940 |
Statements
CDO pricing with nested Archimedean copulas (English)
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7 June 2011
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nested Archimedean copula
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hierarchial dependence structure
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CDO
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Monte Carlo pricing
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0.8881350755691528
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0.805145263671875
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0.7776609063148499
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0.7716155052185059
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0.7702981233596802
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