Pricing and hedging of CDO-squared tranches by using a one factor Lévy model
Year of publication: |
2009
|
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Authors: | Guillaume, Florence ; Jacobs, Philippe ; Schoutens, Wim |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 5, p. 663-685
|
Subject: | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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