SHEN, YANBIN; ANDERLUH, J. H. M.; WEIDE, J. A. M. VAN DER - In: International Journal of Theoretical and Applied … 18 (2015) 01, pp. 1550001-1
For an efficient computation of the counterparty credit exposure profiles of the multi-asset options, a simulation-based method, named the Stochastic Grid Bundling Method (SGBM), is applied. The method is based on a 'regression later' technique used for the conditional expectation approximation...
