Sensitivity estimates for portfolio credit derivatives using Monte Carlo
| Year of publication: |
2008
|
|---|---|
| Authors: | Chen, Zhiyong ; Glasserman, Paul |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 12.2008, 4, p. 507-540
|
| Publisher: |
Springer |
| Subject: | Sensitivity calculation | Credit derivatives | Monte Carlo simulation | Efficiency | Pathwise method |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005166854