Increment variance reduction techniques with an application to multi-name credit derivatives
Pierre Rostan, Alexandra Rostan, François-Éric Racicot
| Year of publication: |
2020
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|---|---|
| Authors: | Rostan, Pierre ; Rostan, Alexandra ; Racicot, François-Éric |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 55.2020, 1, p. 1-35
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| Subject: | Monte Carlo simulation | Multi-name credit derivatives | Credit derivatives pricing | Synthetic CDOs | Variance reduction technique | Derivat | Derivative | Monte-Carlo-Simulation | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Kreditderivat | Credit derivative | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9828-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012222571