EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
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 (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 04, p. 1450024-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Expected exposure | potential future exposure | Bermudan options | Heston | numerical computation | finite differences | stochastic grid bundling method |
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