2 papers
q-fin.CP2019
Speed-up credit exposure calculations for pricing and risk management
Kathrin Glau, Ricardo Pachon, Christian Pötz
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential…
q-fin.CP2018
A new approach for American option pricing: The Dynamic Chebyshev method
Kathrin Glau, Mirco Mahlstedt, Christian Pötz
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Che…