Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
| Year of publication: |
September 2016
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|---|---|
| Authors: | Feng, Qian ; Jain, Shashi ; Karlsson, Patrik ; Kandhai, Drona ; Oosterlee, Cornelis Willebrordus |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 1, p. 139-172
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| Subject: | credit valuation adjustment (CVA) | credit exposure | potential future exposure (PFE) | Bermudan swaption | risk-neutral measure | real-world measure | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Swap | Derivat | Derivative | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2017.337 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011639641