Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations

Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations

We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio. We assume that the portfolio contains several exotic derivatives that are priced using Monte-Carlo on each real world scenario and time step....

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Veröffentlicht in:arXiv.org 2021-05
Hauptverfasser: Krepkiy, Yuriy, Lakhany, Asif, Zhang, Amber
Format: Artikel
Sprache:eng
Schlagworte:
Least squares
Mathematical analysis
Monte Carlo simulation
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Zusammenfassung:We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio. We assume that the portfolio contains several exotic derivatives that are priced using Monte-Carlo on each real world scenario and time step. Such a setting is often referred to as a Monte Carlo over a Monte Carlo or a Nested Monte Carlo method.
ISSN:2331-8422