ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS

DOI10.1142/S0219024915500016zbMath1337.91129MaRDI QIDQ5245884

Yanbin Shen, J. A. M. van der Weide, J. H. M. Anderluh

Publication date: 15 April 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

multi-asset optionscounterparty credit riskcredit value adjustmentbundling methodleast squares regression approximation

Mathematics Subject Classification ID

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

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Improved lower and upper bound algorithms for pricing American options by simulation
• COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
• Mathematical Finance
• The Greatest of a Finite Set of Random Variables

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