Efficient Monte Carlo counterparty credit risk pricing and measurement
Samim Ghamami and Bo Zhang
| Year of publication: |
2014
|
|---|---|
| Authors: | Ghamami, Samim ; Zhang, Bo |
| Publisher: |
Washington, DC : Div. of Research & Statistics and Monetary Affairs, Federal Reserve Board |
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory |
| Extent: | Online-Ressource (42 S.) |
|---|---|
| Series: | Finance and economics discussion series. - Washington, DC : Board of Governors of the Federal Reserve System, ZDB-ID 2670319-1. - Vol. 2014,114 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: PDF Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011408071