Application of RQMC for CDO Pricing with Stochastic Correlations under Nonhomogeneous Assumptions
In consideration of that the correlation between any two assets of the asset pool is always stochastic in the actual market and that collateralized debt obligation (CDO) pricing models under nonhomogeneous assumptions have no semianalytic solutions, we designed a numerical algorithm based on randomi...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/3243450 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!