A quantization approach to the counterparty credit exposure estimation
Year of publication: |
2020
|
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Authors: | Bonollo, Michele ; Di Persio, Luca ; Oliva, Immacolata |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 70.2020, p. 335-356
|
Subject: | Counterparty credit risk | European option | Expected positive exposure | Quantization | Kreditrisiko | Credit risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory | EU-Staaten | EU countries | OTC-Handel | OTC market |
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