Pricing kth realization derivatives and collateralized debt obligation with multivariate Fréchet copula
DOI10.1007/S11464-016-0537-8zbMATH Open1348.62232OpenAlexW2396584735MaRDI QIDQ335566FDOQ335566
Authors: Zhijin Chen, Jingping Yang, Xiaoqian Wang 
Publication date: 2 November 2016
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-016-0537-8
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order statistics\(k\)th realization derivativecollateralized debt obligation (CDO)multivariate Fréchet copula
Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
Cites Work
- A class of multivariate copulas with bivariate Fréchet marginal copulas
- Fast Pricing of Basket Default Swaps
- Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model
- Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
Cited In (5)
- Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
- Pricing synthetic CDO with multiparameter Archimedean copula models
- A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011)
- Pricing collateralized derivatives with an arbitrary numeraire
- Title not available (Why is that?)
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