Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
Geon Ho Choe; Hyun Jin Jang
| Year of publication: |
2011
|
|---|---|
| Authors: | Choe, Geon Ho ; Jang, Hyun Jin |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 48.2011, 2, p. 205-213
|
| Subject: | Multivariate Verteilung | Multivariate distribution | Swap | Optionspreistheorie | Option pricing theory | Multivariate Analyse | Multivariate analysis | Finanzmathematik | Mathematical finance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008989350