A Monte Carlo approach to American options pricing including counterparty risk (Q5031705): Difference between revisions

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+Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
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+PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
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+Pricing American Options: A Duality Approach
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+PDE and martingale methods in option pricing.
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+Monte Carlo valuation of American options
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