Least squares Monte Carlo credit value adjustment with small and unidirectional bias (Q2953307)
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scientific article; zbMATH DE number 6670223
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| English | Least squares Monte Carlo credit value adjustment with small and unidirectional bias |
scientific article; zbMATH DE number 6670223 |
Statements
LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS (English)
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4 January 2017
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credit value adjustment
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least squares regression
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Monte Carlo simulation
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0.8400958180427551
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0.800418496131897
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0.7586300373077393
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0.7525896430015564
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0.7456148266792297
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