Pricing a CDO on stochastically correlated underlyings-Reference-Cited by-同舟云学术

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Pricing a CDO on stochastically correlated underlyings

Published:2009-06-25 Issue:3 Volume:10 Page:265-277
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Escobar Marcos¹,Götz Barbara²,Seco Luis³,Zagst Rudi²

Affiliation:

1. a Department of Mathematics , Ryerson University , 350 Victoria St., Toronto, M5B 2K3 Ontario, Canada

2. b HVB-Institute for Mathematical Finance, Munich University of Technology , Boltzmannstr. 3, 85747 Garching, Munich, Germany

3. c Department of Mathematics , University of Toronto , Toronto, M5S 2E4 Ontario, Canada

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697680802629418

Reference20 articles.

1. Arbitrage Theory in Continuous Time

2. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

3. Option pricing: A simplified approach

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