A structural jump-diffusion model for pricing collateralized debt obligations tranches (Q716531)
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scientific article; zbMATH DE number 5952413
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A structural jump-diffusion model for pricing collateralized debt obligations tranches |
scientific article; zbMATH DE number 5952413 |
Statements
A structural jump-diffusion model for pricing collateralized debt obligations tranches (English)
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29 September 2011
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structural jump-diffusion model
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Brownian motion
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asymmetric double exponential distribution
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collateralized debt obligations
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loss distribution
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