Algorithmic counterparty credit exposure for multi-asset Bermudan options

S Yanbin, JHM Anderluh, JAM van der Weide

Research output: Contribution to journal › Article › Scientific

1 Citation (Scopus)

Original language	English
Journal	International Journal of Theoretical and Applied Finance
Volume	18
Issue number	1
DOIs	https://doi.org/10.1142/S0219024915500016
Publication status	Published - 2015

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title = "Algorithmic counterparty credit exposure for multi-asset Bermudan options",

author = "S Yanbin and JHM Anderluh and {van der Weide}, JAM",

year = "2015",

doi = "10.1142/S0219024915500016",

language = "English",

volume = "18",

journal = "International Journal of Theoretical and Applied Finance",

issn = "0219-0249",

publisher = "World Scientific Publishing",

number = "1",

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T1 - Algorithmic counterparty credit exposure for multi-asset Bermudan options

AU - Yanbin, S

AU - Anderluh, JHM

AU - van der Weide, JAM

PY - 2015

Y1 - 2015

U2 - 10.1142/S0219024915500016

DO - 10.1142/S0219024915500016

M3 - Article

SN - 0219-0249

VL - 18

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

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