Saddlepoint Approximations for Expectations and an Application to CDO Pricing.

Sat, 01 Jan 2011 00:00:00 +0100

Xinzheng Huang, Cornelis W. Oosterlee :
Saddlepoint Approximations for Expectations and an Application to CDO Pricing. SIAM J. Financial Math. 2(1): 692-714 (2011)