Algorithmic counterparty credit exposure for multi-asset Bermudan options
Yanbin Shen, J. H. M. Anderluh and J. A. M. van der Weide
| Year of publication: |
2015
|
|---|---|
| Authors: | Shen, Yanbin ; Anderluh, J. H. M. ; Weide, Hans van der |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 1, p. 1-35
|
| Subject: | Counterparty credit risk | multi-asset options | least squares regression approximation | bundling method | credit value adjustment | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Regressionsanalyse | Regression analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011403163