Applying Importance Sampling to Pricing Single Tranches of Cdos in a One-factor Li Model
نویسنده
چکیده
It is shown that importance sampling can be effectively applied to the pricing of a single tranche of a CDO. In particular, by shifting the mean of the common factor, it is demonstrated that the price can be estimated to an accuracy of approximately one percent with about ten thousand paths in a large range of cases. This is achieved at minimal extra computational complexity.
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تاریخ انتشار 2004