Efficient computation of exposure profiles for counterparty credit risk
Cornelis S. L. De Graaf; Qian Feng; Drona Kandhai; Cornelis W. Oosterlee
| Year of publication: |
2014
|
|---|---|
| Authors: | Graaf, Cornelis S. L. de ; Feng, Qian ; Kandhai, Drona ; Oosterlee, Cornelis W. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 4, p. 1-23
|
| Subject: | Expected exposure | potential future exposure | Bermudan options | Heston | numerical computation | finite differences | stochastic grid bundling method | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Hedging |
| 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://www.econbiz.de/10010391508