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"A Monte Carlo approach to American options pricing including counterparty ..."

Iñigo Arregui, Beatriz Salvador, Carlos Vázquez (2019)

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DOI: 10.1080/00207160.2018.1486399

access: closed

type: Journal Article

metadata version: 2020-12-29

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Iñigo Arregui, Beatriz Salvador, Carlos Vázquez:
A Monte Carlo approach to American options pricing including counterparty risk. Int. J. Comput. Math. 96(11): 2157-2176 (2019)

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