Efficient computation of exposure profiles for counterparty credit risk (Q2874730)
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scientific article; zbMATH DE number 6328005
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient computation of exposure profiles for counterparty credit risk |
scientific article; zbMATH DE number 6328005 |
Statements
8 August 2014
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expected exposure
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potential future exposure
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Bermudan options
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Heston
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numerical computation
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finite differences
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stochastic grid bundling method
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Efficient computation of exposure profiles for counterparty credit risk (English)
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