Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation
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- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- repec:bla:jfinan:v:44:y:1989:i:1:p:211-19 is not listed on IDEAS
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
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- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Maximilian Gaß & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair, 2018. "Chebyshev interpolation for parametric option pricing," Finance and Stochastics, Springer, vol. 22(3), pages 701-731, July.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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Cited by:
- Mariano Zeron & Ignacio Ruiz, 2020. "Dynamic sensitivities and Initial Margin via Chebyshev Tensors," Papers 2011.04544, arXiv.org.
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