Sensitivity estimates for portfolio credit derivatives using Monte Carlo

Finance and Stochastics

Volumn 12, Issue 4, 2008, Pages 507-540

  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

Credit derivatives; Efficiency; Monte Carlo simulation; Pathwise method; Sensitivity calculation

Indexed keywords

EID: 52949150120     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-008-0071-y     Document Type: Article

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