Valuation of contingent guarantees using least-squares Monte Carlo (Q4629470)
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scientific article; zbMATH DE number 7043112
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Valuation of contingent guarantees using least-squares Monte Carlo |
scientific article; zbMATH DE number 7043112 |
Statements
VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO (English)
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27 March 2019
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fixed-point problem
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contingent guarantee
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least-squares Monte Carlo
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0.7737525105476379
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0.7658835053443909
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0.7558645606040955
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0.7537677884101868
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