Ilya, Gikhman (2010): Multiple risky securities valuation II.
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Abstract
In this paper we present valuation of CDO tranches paying primary attention to the equity tranche. Our approach is close to one that was outlined in [1].
| Item Type: | MPRA Paper |
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| Original Title: | Multiple risky securities valuation II. |
| Language: | English |
| Keywords: | CDO, tranche pricing |
| Subjects: | G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing |
| Item ID: | 34587 |
| Depositing User: | Ilya Gikhman |
| Date Deposited: | 08. Nov 2011 10:04 |
| Last Modified: | 16. Feb 2013 05:25 |
| References: | 1. Gikhman I.I. Multiple risky securities valuation I. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1944171 , 2011. 1-24. |
| URI: | http://mpra.ub.uni-muenchen.de/id/eprint/34587 |
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