Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models
DOI10.1080/10920277.2008.10597521zbMath1481.91219OpenAlexW1976508770MaRDI QIDQ5022544
Joonghee Huh, Adam W. Kolkiewicz
Publication date: 19 January 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2008.10597521
Numerical methods (including Monte Carlo methods) (91G60) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)
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