Saddlepoint approximations for expectations and an application to CDO pricing
DOI10.1137/100784084zbMATH Open1236.91142OpenAlexW2111508323MaRDI QIDQ5388680FDOQ5388680
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
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Numerical methods (including Monte Carlo methods) (91G60) Approximations to statistical distributions (nonasymptotic) (62E17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cited In (7)
- Notes on exact and semi-exact Lévy models for the valuation of CDOs
- Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
- A Sequential Design Approach for Calibrating Dynamic Computer Simulators
- EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
- Saddlepoint approximations to option price in a general equilibrium model
- Saddlepoint approximation for moments of random variables
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