PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
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Publication:3643589
DOI10.1142/S0219024909005397zbMath1175.91179MaRDI QIDQ3643589
Philippe Jacobs, Florence Guillaume, Wim Schoutens
Publication date: 9 November 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024909005397
60G51: Processes with independent increments; Lévy processes
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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