A Monte Carlo approach to American options pricing including counterparty risk

DOI10.1080/00207160.2018.1486399zbMath1499.91164OpenAlexW2807009064WikidataQ129719693 ScholiaQ129719693MaRDI QIDQ5031705

Carlos Vázquez, Iñigo Arregui, Beatriz Salvador

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1486399

zbMATH Keywords

dynamic programmingMonte Carlo methodAmerican optionscounterparty risktotal value adjustment

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework ⋮ Total value adjustment for European options in a multi-currency setting ⋮ PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution

Cites Work

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

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