Saddlepoint approximations for expectations and an application to CDO pricing

DOI10.1137/100784084MaRDI QIDQ5388680zbMATH OpenOpenAlexFDO

Authors Xinzheng Huang, Cornelis W. Oosterlee

Publication date 19 April 2012

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL http://resolver.tudelft.nl/uuid:232f2243-a05c-41d9-8657-fc8c3578b5ed

zbMATH Keywords

expectationlattice variablesprice of collateralized debt obligationssaddlepoint approximation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Approximations to statistical distributions (nonasymptotic) (62E17) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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