Search Results - subject:"least square Monte Carlo"

Did you mean: subject:"least squares Monte carlo" (43 results)

Research on pricing methods of convertible bonds based on deep learning GAN models

Ren, Gui; Meng, Tao - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-27

This paper proposes two data-driven models (including LSTM pricing model, WGAN pricing model) and an improved model of LSM based on GAN to analyze the pricing of convertible bonds. In addition, the LSM model with higher precision in traditional pricing model is selected for comparative study...

Persistent link: https://www.econbiz.de/10014485386

An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk

Xiao, Tim - In: The Journal of Fixed Income 25 (2015) 1, pp. 84-95

This paper presents a Least Square Monte Carlo approach for accurately calculating credit value adjustment (CVA). In …

Persistent link: https://www.econbiz.de/10012016780