PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
GUILLAUME, FLORENCE, JACOBS, PHILIPPE, SCHOUTENS, WIMVolume:
12
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024909005397
Date:
August, 2009
File:
PDF, 464 KB
english, 2009