Implicit American Monte Carlo methods for nonlinear functional of future portfolio value
type: Item
instance of: scholarly article
title: Implicit American Monte Carlo methods for nonlinear functional of future portfolio value
zbMATH Open document ID: 1411.91627
author: Yusuke Morimoto
published in: Japan Journal of Industrial and Applied Mathematics
publication date: 2017-12-12T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 6817581
zbMATH Keywords: computational finance
zbMATH Keywords: option pricing
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: stochastic mesh method
zbMATH Keywords: XVA
MaRDI profile type: Publication
full work available at URL: s13160-017-0271-y
OpenAlex ID: W2762568049
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cites work: Least Square Regression Methods for Bermudan Derivatives and Systems of Functions
cites work: Q3336457
cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
cites work: Q4821976
DOI: 10.1007/S13160-017-0271-Y
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description: scientific article; zbMATH DE number 6817581