A Monte Carlo approach to American options pricing including counterparty risk
Author:
Affiliation:
1. Depto. de Matemáticas, Universidad de A Coruña, A Coruña, Spain
2. CITIC, A Coruña, Spain
3. ITMATI, Santiago de Compostela, Spain
Funder
Ministerio de Economía y Competitividad
Xunta de Galicia
Spanish Predoc Fellowship
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207160.2018.1486399
Reference15 articles.
1. PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
2. Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs
3. BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS-PART I: PRICING
4. BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS-PART II: CVA
Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework;Communications in Nonlinear Science and Numerical Simulation;2024-03
2. Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk;International Journal of Computer Mathematics;2023-02-06
3. Total value adjustment for European options in a multi‐currency setting;Applied Mathematics and Computation;2022-01
4. Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model;The Journal of Computational Finance;2021
5. Haar‐wavelet based approximation for pricing American options under linear complementarity formulations;Numerical Methods for Partial Differential Equations;2020-10-21
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3