Efficient computation of exposure profiles for counterparty credit risk
type: Item
instance of: scholarly article
zbMATH Open document ID: 1304.91245
DOI: 10.1142/S0219024914500241
author: Cornelis S. L. de Graaf
author: Qian Feng
author: Drona Kandhai
author: Cornelis W. Oosterlee
published in: International Journal of Theoretical and Applied Finance
publication date: 2014-08-08T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 6328005
zbMATH Keywords: expected exposure
zbMATH Keywords: potential future exposure
zbMATH Keywords: Bermudan options
zbMATH Keywords: Heston
zbMATH Keywords: numerical computation
zbMATH Keywords: finite differences
zbMATH Keywords: stochastic grid bundling method
MaRDI profile type: Publication
cites work: A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
cites work: Pricing high-dimensional Bermudan options using the stochastic grid method
cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
cites work: A tree-based method to price American options in the Heston model
full work available at URL: s0219024914500241
OpenAlex ID: W3124655310
title: Efficient computation of exposure profiles for counterparty credit risk
description: scientific article; zbMATH DE number 6328005