"Pricing CDO tranches with stochastic correlation and random factor ..."

Zhe Chen et al. (2012)

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DOI: 10.1016/J.AMC.2012.09.014

access: closed

type: Journal Article

metadata version: 2020-02-21

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Zhe Chen, Qunfang Bao, Shenghong Li, Jianli Chen:
Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model. Appl. Math. Comput. 219(6): 2909-2916 (2012)

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