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Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM

Dominic Cortis;Dominic Cortis;

2019 frontiers in applied mathematics and statistics DOI: 10.3389/fams.2019.00... 227 views

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monte carlo methods american options credit counterparty risk expected potential exposure