Least squares Monte Carlo credit value adjustment with small and unidirectional bias
Mark Joshi, Oh Kang Kwon
| Year of publication: |
December 2016
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|---|---|
| Authors: | Joshi, Mark S. ; Kwon, Oh Kang |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 8, p. 1-16
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| Subject: | Credit value adjustment | least squares regression | Monte Carlo simulation | Monte-Carlo-Simulation | Kleinste-Quadrate-Methode | Least squares method | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500485 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686744