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Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM.
Dominic Cortis
Published in:
Frontiers Appl. Math. Stat. (2019)
Keyphrases
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monte carlo methods
monte carlo
risk analysis
credit risk
simulated annealing
risk management
bayesian networks
active learning
higher order
credit scoring
monte carlo method
risk evaluation