Implicit American Monte Carlo methods for nonlinear functional of future portfolio value (Q1684762)
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scientific article; zbMATH DE number 6817581
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implicit American Monte Carlo methods for nonlinear functional of future portfolio value |
scientific article; zbMATH DE number 6817581 |
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Implicit American Monte Carlo methods for nonlinear functional of future portfolio value (English)
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12 December 2017
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computational finance
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option pricing
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Malliavin calculus
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stochastic mesh method
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XVA
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0.86250865
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0.85368246
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0.8519211
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0.8480091
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0.8478358
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0.8462518
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0.84247416
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0.84161294
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0.83881474
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