"Saddlepoint Approximations for Expectations and an Application to CDO Pricing."

Xinzheng Huang, Cornelis W. Oosterlee (2011)

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DOI: 10.1137/100784084

access: closed

type: Journal Article

metadata version: 2019-10-19

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Xinzheng Huang, Cornelis W. Oosterlee:
Saddlepoint Approximations for Expectations and an Application to CDO Pricing. SIAM J. Financial Math. 2(1): 692-714 (2011)

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