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

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Author Info
N. El Karoui ()
Y. Jiao ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-008-0084-6
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 2 (April)
Pages: 151-180
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Handle: RePEc:spr:finsto:v:13:y:2009:i:2:p:151-180

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Stein’s method; Zero bias transformation; CDO pricing; Gaussian and Poisson approximations; 60F05; 91B99; C02; C63;

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This page was last updated on 2009-11-25.

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