Exact Pricing Asymptotics Of Investment-Grade Tranches Of Synthetic Cdo'S: A Large Homogeneous Pool
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations.
Volume (Year): 13 (2010)
Issue (Month): 03 ()
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