A Monte Carlo approach to American options pricing including counterparty risk (Q5031705): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 19:31, 5 March 2024
scientific article; zbMATH DE number 7474732
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Monte Carlo approach to American options pricing including counterparty risk |
scientific article; zbMATH DE number 7474732 |
Statements
A Monte Carlo approach to American options pricing including counterparty risk (English)
0 references
16 February 2022
0 references
American options
0 references
counterparty risk
0 references
total value adjustment
0 references
Monte Carlo method
0 references
dynamic programming
0 references
