Fast pricing of basket default swaps

Operations Research

Volumn 56, Issue 2, 2008, Pages 286-303

  Chen, Zhiyong ^a   Glasserman, Paul ^b  

^a Bear Stearns & Co Inc   (United States)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CORPORATE BONDS; CREDIT RISKS; DERIVATIVE SECURITIES; HIGH QUALITIES; JOINT DISTRIBUTIONS; MONTE CARLO SIMULATIONS; RARE-EVENT SIMULATIONS; SAMPLING TECHNIQUES;

MONTE CARLO METHODS;

RISK ASSESSMENT;

EID: 52949116743     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1070.0456     Document Type: Article

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