Pricing synthetic CDO with MGB2 distribution (Q896409)
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scientific article; zbMATH DE number 6518326
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing synthetic CDO with MGB2 distribution |
scientific article; zbMATH DE number 6518326 |
Statements
Pricing synthetic CDO with MGB2 distribution (English)
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9 December 2015
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MGB2 distribution
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synthetic CDO
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correlation smile
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base correlation
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0.8605814
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0.8470925
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0.8271646
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0.8221243
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0.8163551
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0.8160582
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0.8143881
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