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EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
14 references·1 citing·38 second hop
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK (2014)EFFICIENT COMPUTATION OF EXPOSURE PROFILE…The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks (2015)The Stochastic Grid Bundling …ADI Schemes for Pricing American Options under the Heston Model (2015)ADI Schemes for Pricing Ameri…Pricing high-dimensional Bermudan options using the stochastic grid method (2012)Pricing high-dimensional Berm…Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation (2012)Alternating direction implici…Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation (2012)Alternating direction implici…A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (2011)A Fourier-Based Valuation Met…Counterparty Credit Risk (2010)Counterparty Credit RiskADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation (2010)ADI Finite Difference Schemes…A tree-based method to price American options in the Heston model (2009)A tree-based method to price …Simple and efficient simulation of the Heston stochastic volatility model (2008)Simple and efficient simulati…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (2021)A deep learning approach for …The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model (2010)Asymptotic formulae for implied volatility in the Heston model (2010)High-order compact finite difference scheme for option pricing in stochastic volatility models (2012)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The evaluation of barrier option prices under stochastic volatility (2012)Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options (2012)A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (2017)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Theory of Rational Option Pricing (1973)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Empirical Performance of Alternative Option Pricing Models (1997)Option valuation using the fast Fourier transform (1999)American option pricing under the double Heston model based on asymptotic expansion (2018)Calibration of the double Heston model and an analytical formula in pricing American put option (2021)Regression methods for pricing complex American-style options (2001)Monte Carlo Methods in Financial Engineering (2003)Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation (2016)On pre-commitment aspects of a time-consistent strategy for a mean-variance investor (2016)Pricing and Hedging American-Style Options with Deep Learning (2020)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (2013)Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (2018)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)On the Heston Model with Stochastic Interest Rates (2011)Realized Skewness (2012)Option Prices as Predictors of Equilibrium Stock Prices (1982)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 1977The Valuation of American Put Options443 cited
  • 2008Simple and efficient simulation of the Heston stochastic volatility model266 cited
  • 2010ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation183 cited
  • 2011A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model137 cited
  • 2012Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation82 cited
  • 2015The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks70 cited
  • 2009A tree-based method to price American options in the Heston model60 cited
  • 2012Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation50 cited
  • 2015ADI Schemes for Pricing American Options under the Heston Model44 cited
  • 2010Counterparty Credit Risk40 cited
  • 2012Pricing high-dimensional Bermudan options using the stochastic grid method31 cited

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  • 2021A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options20 cited