Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM
Monte Carlo methods have become a staple use in risk departments of many financial institutions as these methods are relatively fast to compute even at higher dimensions and provide risk metrics such as percentile values. Two classical methods used for derivatives with early exercise features are th...
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2019-12-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
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| Online Access: | https://www.frontiersin.org/article/10.3389/fams.2019.00060/full |