A Monte Carlo approach to American options pricing including counterparty risk (Q5031705)
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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 |
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A Monte Carlo approach to American options pricing including counterparty risk (English)
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16 February 2022
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American options
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counterparty risk
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total value adjustment
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Monte Carlo method
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dynamic programming
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