Ilya, Gikhman (2010): Multiple risky securities valuation II.
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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 .
|Item Type:||MPRA Paper|
|Original Title:||Multiple risky securities valuation II.|
|Keywords:||CDO, tranche pricing|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing|
|Depositing User:||Ilya Gikhman|
|Date Deposited:||08. Nov 2011 10:04|
|Last Modified:||16. Feb 2013 05:25|
1. Gikhman I.I. Multiple risky securities valuation I. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1944171 , 2011. 1-24.