Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula (Q335566)
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scientific article; zbMATH DE number 6647017
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| English | Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula |
scientific article; zbMATH DE number 6647017 |
Statements
Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula (English)
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2 November 2016
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multivariate Fréchet copula
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\(k\)th realization derivative
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order statistics
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collateralized debt obligation (CDO)
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0.8795847
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0.8720443
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0.8672816
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0.8672314
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0.8671005
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0.86564714
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0.8639047
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0.86032414
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