Pricing of CDOs based on the multivariate Wang transform
Year of publication: |
2010
|
---|---|
Authors: | Kijima, Masaaki ; Motomiya, Shin-ichi ; Suzuki, Yoichi |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 34.2010, 11, p. 2259-2272
|
Subject: | Stochastischer Prozess | Stochastic process | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | CAPM | Theorie | Theory |
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