PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
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Publication:3643589
DOI10.1142/S0219024909005397zbMath1175.91179OpenAlexW2051111975MaRDI QIDQ3643589
Philippe Jacobs, Florence Guillaume, Wim Schoutens
Publication date: 9 November 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024909005397
Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ VNS approach for solving a financial portfolio design problem ⋮ Dependent defaults and losses with factor copula models ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
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