Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models
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Publication:5022544
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
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
Related Items
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