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International Journal of Computer Mathematics Volume 96, 2019 - Issue 11: International Conference on Computational Finance 2017 (ICCF 2017)
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Original Articles

A Monte Carlo approach to American options pricing including counterparty risk

Iñigo ArreguiDepto. de Matemáticas, Universidad de A Coruña, A Coruña, Spain;CITIC, A Coruña, SpainCorrespondence[email protected]
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,
Beatriz SalvadorDepto. de Matemáticas, Universidad de A Coruña, A Coruña, Spain;CITIC, A Coruña, SpainView further author information
&
Carlos VázquezDepto. de Matemáticas, Universidad de A Coruña, A Coruña, Spain;CITIC, A Coruña, Spain;ITMATI, Santiago de Compostela, SpainView further author information
Pages 2157-2176 | Received 31 Dec 2017, Accepted 31 May 2018, Published online: 05 Jul 2018

Citations (5)

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Read on this site (1)

Íñigo Arregui, Álvaro Leitao, Beatriz Salvador & Carlos Vázquez. (2023) Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. International Journal of Computer Mathematics 0:0, pages 1-21.
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Articles from other publishers (4)

Íñigo Arregui, Roberta Simonella & Carlos Vázquez. (2024) Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. Communications in Nonlinear Science and Numerical Simulation 130, pages 107725.
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Iñigo Arregui, Roberta Simonella & Carlos Vázquez. (2022) Total value adjustment for European options in a multi‐currency setting. Applied Mathematics and Computation 413, pages 126647.
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Devendra Kumar & Komal Deswal. (2020) Haar‐wavelet based approximation for pricing American options under linear complementarity formulations. Numerical Methods for Partial Differential Equations 37:2, pages 1091-1111.
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Iñigo Arregui, Beatriz Salvador, Daniel Ševčovič & Carlos Vázquez. (2020) PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution. Computers & Mathematics with Applications 79:5, pages 1525-1542.
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