A mixed PDE-Monte Carlo approach for pricing credit default index swaptions

DOI10.1007/s10203-006-0065-1zbMath1160.91347OpenAlexW1994103977MaRDI QIDQ882492

Lucia Caramellino, Vlad Bally, Antonino Zanette

Publication date: 24 May 2007

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-006-0065-1

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Unnamed Item
• On Cox processes and credit risky securities
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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