Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models

DOI10.1080/10920277.2008.10597521zbMath1481.91219MaRDI QIDQ5022544

Joonghee Huh, Adam W. Kolkiewicz

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597521

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60F10: Large deviations

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G40: Credit risk

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