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"Sensitivity estimates for portfolio credit derivatives using Monte Carlo."

Zhiyong Chen, Paul Glasserman (2008)

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DOI: 10.1007/S00780-008-0071-Y

access: closed

type: Journal Article

metadata version: 2020-07-22

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  - journals/fs/ChenG08
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  - https://dblp.org/rec/journals/fs/ChenG08
Zhiyong Chen, Paul Glasserman:
Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Finance Stochastics 12(4): 507-540 (2008)

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