"A Benchmark Approach of Counterparty Credit Exposure of Bermudan Option ..."

Yanbin Shen, Johannes A. M. van der Weide, Jasper H. M. Anderluh (2013)

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DOI: 10.1016/J.PROCS.2013.05.282

access: closed

type: Conference or Workshop Paper

metadata version: 2017-05-21

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Yanbin Shen, Johannes A. M. van der Weide, Jasper H. M. Anderluh:
A Benchmark Approach of Counterparty Credit Exposure of Bermudan Option under Lévy Process: The Monte Carlo-COS Method. ICCS 2013: 1163-1171

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