AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks (Q4586457)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6935959
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks |
scientific article; zbMATH DE number 6935959 |
Statements
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks (English)
0 references
13 September 2018
0 references
adjoint algorithmic differentiation (AAD)
0 references
Monte Carlo methods
0 references
Bermudan-style options
0 references
valuation adjustments (XVA)
0 references
0.7997074723243713
0 references
0.7855716943740845
0 references
0.7854047417640686
0 references
0.7786818742752075
0 references
