A Monte Carlo approach to American options pricing including counterparty risk
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Publication:5031705
DOI10.1080/00207160.2018.1486399zbMath1499.91164OpenAlexW2807009064MaRDI QIDQ5031705
Carlos Vázquez, Iñigo Arregui, Beatriz Salvador
Publication date: 16 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2018.1486399
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
- Valuing American Options by Simulation: A Simple Least-Squares Approach