Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions
Year of publication: |
2016
|
---|---|
Authors: | Feng, Qian |
Other Persons: | Jain, Shashi (contributor) ; Karlsson, Patrik (contributor) ; Kandhai, Drona (contributor) ; Oosterlee, Cornelis Willebrordus (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Swap | Monte-Carlo-Simulation | Monte Carlo simulation | Szenariotechnik | Scenario analysis |
Extent: | 1 Online-Ressource (28 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 4, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2790874 [DOI] |
Classification: | C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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