A Multi-Level Monte-Carlo with FEM for XVA in European Options

DOI10.1007/978-3-031-11818-0_42OpenAlexW4312712387MaRDI QIDQ6048659

Ana María Ferreiro-Ferreiro, Carlos Vázquez, Unnamed Author

Publication date: 15 September 2023

Published in: Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-11818-0_42

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Cites Work

• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
• Mixing Monte-Carlo and partial differential equations for pricing options
• AN INTRODUCTION TO MULTILEVEL MONTE CARLO METHODS

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