Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Cornelis S.L. de Graaf, Drona Kandhai and Peter M.A. Sloot
| Year of publication: |
June 2017
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|---|---|
| Authors: | Graaf, Cornelis S. L. de ; Kandhai, Drona ; Sloot, Peter M. A. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017, 1, p. 83-113
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| Subject: | finite difference Monte Carlo (FDMC) | credit valuation adjustment (CVA) | barrier options | portfolio | exposure computation | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.325 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011691615