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VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO - MaRDI portal

VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO (Q4629470)

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scientific article; zbMATH DE number 7043112
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English
VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO
scientific article; zbMATH DE number 7043112

    Statements

    title
    VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO (English)
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    publication date
    27 March 2019
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    zbMATH Keywords
    fixed-point problem
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    contingent guarantee
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    least-squares Monte Carlo
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91G20
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    60G40
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    60G44
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    91G60
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    zbMATH DE Number
    7043112
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    OpenAlex ID
    W2902234567
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    Wikidata QID
    Q128221353
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    DOI
    10.1017/ASB.2018.43
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