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As you may know, XVA and CCR computations are complex and involve a huge Monte Carlo with a multi-asset diffusion, netting of trades, etc. Simplicity and better (computational) performance On the one hand, using a single-factor model means more simplicity and a better performance, this can be very important for example if one has real-time limits on the ...


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To compute the price of an American option or a callable instrument in general, at each potential exercise date, one is required to compare its continuation value (discounted risk-neutral expectation of what the option would pay off if it was not exercised) to the relevant exercise value/early redemption price. By construction, lattice and finite difference ...


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