AAD and Least-Square Monte Carlo : Fast Bermudan-Style Options and XVA Greeks
Year of publication: |
2017
|
---|---|
Authors: | Capriotti, Luca |
Other Persons: | Jiang, Yupeng (contributor) ; Macrina, Andrea (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation |
Extent: | 1 Online-Ressource (27 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 23, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2842631 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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