Multiple risky securities valuation II
AbstractIn this paper we present valuation of CDO tranches paying primary attention to the equity tranche. Our approach is close to one that was outlined in .
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 34587.
Date of creation: 2010
Date of revision: 2011
CDO; tranche pricing;
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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