Computing credit valuation adjustment for Bermudan options with wrong way risk (Q4602499)
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 6824301
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Computing credit valuation adjustment for Bermudan options with wrong way risk |
scientific article; zbMATH DE number 6824301 |
Statements
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (English)
0 references
11 January 2018
0 references
credit valuation adjustment (CVA)
0 references
wrong way risk (WWR)
0 references
nonnested Monte Carlo
0 references
Bermudan options
0 references
0 references
0 references
0 references
0 references
0.8229313492774963
0 references
0.8222759366035461
0 references
0.8138282299041748
0 references
0.8118675947189331
0 references
0.7914018630981445
0 references
