Algorithmic counterparty credit exposure for multi-asset Bermudan options

Journal article (2015)

Authors

S Yanbin External organisation
J.H.M. Anderluh Applied Probability - EEMCS
J.A.M. van der Weide Applied Probability - EEMCS
Research Group
Applied Probability (EEMCS) (TU Delft)
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Published Date

2015

Language

English

Reuse Rights

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Applied Probability