Evaluation of counterparty risk for derivatives with early-exercise features

Michèle Breton, Oussama Marzouk

Year of publication:	March 2018
Authors:	Breton, Michèle ; Marzouk, Oussama
Published in:	Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 88.2018, p. 1-20
Subject:	Finance \| Credit risk \| Credit valuation adjustment \| Dynamic programming \| Computational method \| Kreditrisiko \| Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| Risikomanagement \| Risk management \| Dynamische Optimierung

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