Stein's method and zero bias transformation for CDO tranche pricing
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Publication:964669
DOI10.1007/s00780-008-0084-6zbMath1199.91063OpenAlexW2138672263MaRDI QIDQ964669
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0084-6
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Related Items (5)
Binomial approximation to locally dependent collateralized debt obligations ⋮ Zero bias transformation and asymptotic expansions ⋮ Poisson approximation for call function via Stein-Chen method ⋮ Normal approximation for call function via Stein’s method ⋮ Pricing CDOs with state-dependent stochastic recovery rates
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- Asymptotics of the price oscillations of a European call option in a tree model
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