Pricing a CDO on stochastically correlated underlyings (Q3557568)
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scientific article; zbMATH DE number 5700388
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| default for all languages | No label defined |
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| English | Pricing a CDO on stochastically correlated underlyings |
scientific article; zbMATH DE number 5700388 |
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Pricing a CDO on stochastically correlated underlyings (English)
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23 April 2010
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stochastic covariance matrix
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CDO
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trinomial-trees
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principal component analysis
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method of moments
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0.8067403435707092
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0.7964073419570923
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0.7779530882835388
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0.7758499979972839
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0.7721684575080872
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