Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jedc.2018.01.014
+Normal rank
@@ Property / OpenAlex ID @@
+W2783781264
@@ Property / OpenAlex ID: W2783781264 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4257216
@@ Property / cites work: Q4257216 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of Dynamic Programs
@@ Property / cites work: Approximation of Dynamic Programs / rank @@
+Normal rank
@@ Property / cites work @@
+Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
+Normal rank
@@ Property / cites work @@
+A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
+Normal rank
@@ Property / cites work @@
+Counterparty Credit Risk, Collateral and Funding
@@ Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank @@
+Normal rank
@@ Property / cites work @@
+Q3515750
@@ Property / cites work: Q3515750 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Modelling, pricing, and hedging counterparty credit exposure. A technical guide
+Normal rank
@@ Property / cites work @@
+A method for numerical integration on an automatic computer
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Approximate Dynamic Programming
@@ Property / cites work: Approximate Dynamic Programming / rank @@
+Normal rank