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"AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks."

Luca Capriotti, Yupeng Jiang, Andrea Macrina (2017)

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DOI: 10.3233/AF-170201

access: closed

type: Journal Article

metadata version: 2017-10-25

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Luca Capriotti, Yupeng Jiang, Andrea Macrina:
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. Algorithmic Finance 6(1-2): 35-49 (2017)

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