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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31315

    Title: An efficient algorithm for basket default swap valuation
    Authors: Chiang,Mi-Hsiu;Yueh,Meng-Lan;Hsieh,Ming-Hua
    Contributors: 財務金融研究所
    Keywords: CORPORATE-DEBT
    Date: 2007
    Issue Date: 2010-07-06 17:41:59 (UTC+8)
    Publisher: 中央大學
    Abstract: Importance sampling (IS), as an efficiency improvement technique for Monte Carlo simulations, is particularly well-suited for correlation products which have payoffs contingent on the occurrence of rare events. An appropriate choice of the IS distribution
    Appears in Collections:[財務金融研究所] 期刊論文

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