Pricing of CDOs based on the multivariate Wang transform (Q609828)
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scientific article; zbMATH DE number 5822398
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| English | Pricing of CDOs based on the multivariate Wang transform |
scientific article; zbMATH DE number 5822398 |
Statements
Pricing of CDOs based on the multivariate Wang transform (English)
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1 December 2010
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one-factor Gaussian copula model
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Merton's structural model
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multivariate Wang transform
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Student \(t\) copula
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0.89434785
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0.88255924
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0.8696366
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0.8631458
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0.85493684
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0.84657127
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