"Evaluating Credit Counterparty Risk of American Options via Monte Carlo ..."

Dominic Cortis (2019)

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DOI: 10.3389/FAMS.2019.00060

access: open

type: Journal Article

metadata version: 2021-12-06

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Dominic Cortis:
Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM. Frontiers Appl. Math. Stat. 5: 60 (2019)

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