On break-even correlation: the way to price structured credit derivatives by replication (Q4683100)
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scientific article; zbMATH DE number 6939302
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| English | On break-even correlation: the way to price structured credit derivatives by replication |
scientific article; zbMATH DE number 6939302 |
Statements
On break-even correlation: the way to price structured credit derivatives by replication (English)
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19 September 2018
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collateralized debt obligation
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dynamic hedging
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Gaussian copula
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structural Merton models
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0.7681331634521484
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0.7495422959327698
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0.7431055903434753
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0.742351770401001
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