A quantization approach to the counterparty credit exposure estimation
Michele Bonollo, Luca Di Persio, Immacolata Oliva
| Year of publication: |
2020
|
|---|---|
| Authors: | Bonollo, Michele ; Di Persio, Luca ; Oliva, Immacolata |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 70.2020, p. 335-356
|
| Subject: | Counterparty credit risk | European option | Expected positive exposure | Quantization | Kreditrisiko | Credit risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.08.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486798