Implicit American Monte Carlo methods for nonlinear functional of future portfolio value (Q1684762)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implicit American Monte Carlo methods for nonlinear functional of future portfolio value |
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Implicit American Monte Carlo methods for nonlinear functional of future portfolio value (English)
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12 December 2017
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computational finance
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option pricing
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Malliavin calculus
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stochastic mesh method
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XVA
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