Least squares Monte Carlo credit value adjustment with small and unidirectional bias
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
|
Subject: | Credit value adjustment | least squares regression | Monte Carlo simulation | Monte-Carlo-Simulation | Kleinste-Quadrate-Methode | Least squares method | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis |
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