2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.CP2022★ 2 cited
Pathwise CVA Regressions With Oversimulated Defaults
Lokman Abbas-Turki, Stéphane Crépey, Bouazza Saadeddine
We consider the computation by simulation and neural net regression of conditional expectations, or more general elicitable statistics, of functionals of processes . Here…
q-fin.PR2011
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
Lokman Abbas-Turki, Bernard Lapeyre
This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use…