Approximate derivative pricing for large classes of homogeneous assets with systematic risk

Journal of Financial Econometrics

Volumn 9, Issue 2, 2011, Pages 237-280

  Gagliardini, Patrick ^a   Gouriéroux, Christian ^b  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Basket derivatives; Credit default swap; Credit risk; Default correlation; Derivative pricing; Granularity adjustment; Large portfolio; Systematic risk

Indexed keywords

EID: 79954624861     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbr001     Document Type: Article

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