Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM

Frontiers in Applied Mathematics and Statistics - Switzerland
doi 10.3389/fams.2019.00060
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Frontiers Media SA

Related search

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Journal of Credit Risk
EconomicsEconometricsFinance
2014English

Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives

Springer Proceedings in Mathematics and Statistics
Mathematics
2016English

Measure the Market Risk of the American Basket Options Based on the Least Square Monte Carlo Simulation Approach

2016English

Average Performance of Monte Carlo and Quasi-Monte Carlo Methods for Global Optimization

English

Pricing 50ETF in the Way of American Options Based on Least Squares Monte Carlo Simulation

Applied Finance and Accounting
2016English

The Pricing Implications of Counterparty Risk for Non-Linear Credit Products

Journal of Credit Risk
EconomicsEconometricsFinance
2005English

Modern Monte Carlo Methods and GPU Computing

Mathematics in Industry
2017English

Particle Markov Chain Monte Carlo Methods

Journal of the Royal Statistical Society. Series B: Statistical Methodology
UncertaintyStatisticsProbability
2010English

Monte Carlo Bounds for Game Options Including Convertible Bonds

Management Science
Management ScienceManagementOperations ResearchStrategy
2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy