Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
Journal Article
(2007)
Author(s)
X Huang (TU Delft - Numerical Analysis)
CW Oosterlee (TU Delft - Numerical Analysis)
J.A.M. van der Weide (TU Delft - Applied Probability)
Research Group
Numerical Analysis
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Publication Year
2007
Research Group
Numerical Analysis
Issue number
1
Volume number
11
Pages (from-to)
93-113
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