Saddlepoint Approximations for Expectations and an Application to CDO Pricing

DOI10.1137/100784084zbMath1236.91142OpenAlexW2111508323MaRDI QIDQ5388680

Cornelis W. Oosterlee, Xinzheng Huang

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: http://resolver.tudelft.nl/uuid:232f2243-a05c-41d9-8657-fc8c3578b5ed

zbMATH Keywords

saddlepoint approximationexpectationlattice variablesprice of collateralized debt obligations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Approximations to statistical distributions (nonasymptotic) (62E17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance ⋮ Saddlepoint approximation for moments of random variables ⋮ A Sequential Design Approach for Calibrating Dynamic Computer Simulators ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS ⋮ Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications

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