Evaluation of counterparty risk for derivatives with early-exercise features
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Publication:1657201
DOI10.1016/J.JEDC.2018.01.014zbMATH Open1401.91544OpenAlexW2783781264MaRDI QIDQ1657201FDOQ1657201
Authors: Michèle Breton, Oussama Marzouk 
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2018.01.014
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)
Cites Work
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- Option pricing when underlying stock returns are discontinuous
- A method for numerical integration on an automatic computer
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
- On Cox processes and credit risky securities
- Approximate Dynamic Programming
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Modelling, pricing, and hedging counterparty credit exposure. A technical guide
- Approximation of dynamic programs
- Counterparty risk pricing under correlation between default and interest rates
Cited In (11)
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Estimating the counterparty risk exposure by using the Brownian motion local time
- Analytical expressions to counterparty credit risk exposures for interest rate derivatives
- Pricing vulnerable European options under Lévy process with stochastic volatility
- Discrepancy between regulations and practice in initial margin calculation
- Computing credit valuation adjustment for Bermudan options with wrong way risk
- Liquidity risk in derivatives valuation: an improved credit proxy method
- Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
- A Monte Carlo approach to American options pricing including counterparty risk
- CVA with Wrong-Way Risk in the Presence of Early Exercise
- Coherent global market simulations and securitization measures for counterparty credit risk
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