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A Benchmark Approach of Counterparty Credit Exposure of Bermudan Option under Lévy Process: The Monte Carlo-COS Method.

Yanbin ShenJohannes A. M. van der WeideJasper H. M. Anderluh
Published in: ICCS (2013)
Keyphrases
  • monte carlo
  • monte carlo simulation
  • simulation study
  • adaptive sampling
  • objective function
  • dynamic programming
  • markov chain
  • importance sampling
  • monte carlo method
  • machine learning
  • support vector machine