"Approximations and control variates for pricing portfolio credit derivatives."

Zhiyong Chen, Paul Glasserman (2007)

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DOI: 10.1109/WSC.2007.4419694

access: closed

type: Conference or Workshop Paper

metadata version: 2021-06-10

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Zhiyong Chen, Paul Glasserman:
Approximations and control variates for pricing portfolio credit derivatives. WSC 2007: 976-983

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