Evaluation of counterparty risk for derivatives with early-exercise features

DOI10.1016/j.jedc.2018.01.014zbMath1401.91544OpenAlexW2783781264MaRDI QIDQ1657201

Oussama Marzouk, Michèle Breton

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.01.014

zbMATH Keywords

dynamic programmingcomputational methodcredit riskfinancecredit valuation adjustment

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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