Stein's method and zero bias transformation for CDO tranche pricing

Finance and Stochastics

Volumn 13, Issue 2, 2009, Pages 151-180

  El Karoui, N ^a   Jiao, Y ^b  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

CDO pricing; Gaussian and Poisson approximations; Stein's method; Zero bias transformation

Indexed keywords

EID: 67349133920     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-008-0084-6     Document Type: Article

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