ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS (Q5245884)
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scientific article; zbMATH DE number 6425385
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS |
scientific article; zbMATH DE number 6425385 |
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ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS (English)
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15 April 2015
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counterparty credit risk
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multi-asset options
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least squares regression approximation
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bundling method
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credit value adjustment
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