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
Online-Zugang:	Volltext
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