COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (Q4602499)
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scientific article; zbMATH DE number 6824301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK |
scientific article; zbMATH DE number 6824301 |
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COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (English)
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11 January 2018
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credit valuation adjustment (CVA)
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wrong way risk (WWR)
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nonnested Monte Carlo
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Bermudan options
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