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Counterparty Risk Valuation: A Marked Branching Diffusion Approach · Study

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PreprintCounterparty Risk Valuation: A Marked Branching Diffusion Approach

Pierre Henry‐Labordère2012

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Preprintgreen2012

Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Pierre Henry‐Labordère

57 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Credit Risk and Financial Regulations Probability and Risk Models

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2005Controlled Markov Processes and Viscosity Solutions 1990Adapted solution of a backward stochastic differential equation 2002Monte Carlo valuation of American options 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options 2012Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE 2011A probabilistic numerical method for fully nonlinear parabolic PDEs 1996Probabilistic numerical methods for partial differential equations: Elements of analysis

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2020Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks 2020Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations 2017Unbiased simulation of stochastic differential equations

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2011Uncertain Volatility Model: A Monte-Carlo Approacharticle · 4 shared references 2004A stochastic mesh method for pricing high-dimensional American optionsarticle · 3 shared references 2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEsarticle · 3 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 3 shared references 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontierarticle · 3 shared references 2018Deep optimal stoppingpreprint · 3 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations57

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1995503

openalex_workW2118587148

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