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Pricing a CDO on stochastically correlated underlyings - MaRDI portal

Pricing a CDO on stochastically correlated underlyings (Q3557568)

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Pricing a CDO on stochastically correlated underlyings
scientific article

    Statements

    title
    Pricing a CDO on stochastically correlated underlyings (English)
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    author
    Marcos Escobar
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    Barbara Götz
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    Rudi Zagst
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    Luis A. Seco
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    publication date
    23 April 2010
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    zbMATH Keywords
    stochastic covariance matrix
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    CDO
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    trinomial-trees
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    principal component analysis
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    method of moments
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G40
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    62H25
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    91G70
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    91G60
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    zbMATH DE Number
    5700388
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    OpenAlex ID
    W2059328523
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