Pricing of CDOs based on the multivariate Wang transform (Q609828)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing of CDOs based on the multivariate Wang transform |
scientific article; zbMATH DE number 5822398
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
1 December 2010
0 references
one-factor Gaussian copula model
0 references
Merton's structural model
0 references
multivariate Wang transform
0 references
Student \(t\) copula
0 references
0 references
0 references
0.89434785
0 references
0.88255924
0 references
0.8696366
0 references
0.8631458
0 references
0.85493684
0 references
0 references
0.84657127
0 references
