most citedMonte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model

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

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1 paper

q-fin.CP2014★ 2 cited

Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model

Q. Feng, C. W. Oosterlee

Valuation of Credit Valuation Adjustment (CVA) has become an important field as its calculation is required in Basel III, issued in 2010, in the wake of the credit crisis. Exposure…