most citedOption Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method

2 citations · 2 across the 1 of their papers we have counts for

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q-fin.CP2022★ 2 cited

Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method

Yen Thuan Trinh, Bernard Hanzon

The binomial tree method and the Monte Carlo (MC) method are popular methods for solving option pricing problems. However in both methods there is a trade-off between accuracy and…