Saddlepoint approximations for expectations and an application to CDO pricing (Q5388680)
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scientific article; zbMATH DE number 6025778
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| English | Saddlepoint approximations for expectations and an application to CDO pricing |
scientific article; zbMATH DE number 6025778 |
Statements
Saddlepoint Approximations for Expectations and an Application to CDO Pricing (English)
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19 April 2012
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saddlepoint approximation
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expectation
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lattice variables
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price of collateralized debt obligations
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0.7875968217849731
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0.7841716408729553
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0.7824634909629822
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0.779741644859314
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