Stein’s method and zero bias transformation for CDO tranche pricing
| Year of publication: |
2009
|
|---|---|
| Authors: | Karoui, N. El ; Jiao, Y. |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 2, p. 151-180
|
| Publisher: |
Springer |
| Subject: | Stein’s method | Zero bias transformation | CDO pricing | Gaussian and Poisson approximations |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005184389