Stein’s method and zero bias transformation for CDO tranche pricing

N. El Karoui () and Y. Jiao ()

Finance and Stochastics, 2009, vol. 13, issue 2, 180 pages

Keywords: Stein’s method; Zero bias transformation; CDO pricing; Gaussian and Poisson approximations; 60F05; 91B99; C02; C63 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00780-008-0084-6

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