In this paper we aim at exploiting the properties of the Brownian Local Time to estimate the Counterparty Credit Risk for a specific class of financial derivatives, i.e. the so called Accumulator derivatives, within a Black and Scholes-type market. The comparison with the results obtained by made use of a standard Monte Carlo approach, clearly shows the superiority of our proposal, which runs in smaller execution times and with better estimation accuracy
Counterparty Credit Risk Evaluation for Accumulator Derivatives: the Brownian Local Time Approach / Bonollo, Michele; Di Persio, Luca; Mammi, Luca; Oliva, Immacolata. - In: INTERNATIONAL JOURNAL OF ECONOMICS AND MANAGEMENT SYSTEMS. - ISSN 2367-8925. - 1:(2016), pp. 188-191.
Counterparty Credit Risk Evaluation for Accumulator Derivatives: the Brownian Local Time Approach
Immacolata Oliva
2016
Abstract
In this paper we aim at exploiting the properties of the Brownian Local Time to estimate the Counterparty Credit Risk for a specific class of financial derivatives, i.e. the so called Accumulator derivatives, within a Black and Scholes-type market. The comparison with the results obtained by made use of a standard Monte Carlo approach, clearly shows the superiority of our proposal, which runs in smaller execution times and with better estimation accuracy| File | Dimensione | Formato | |
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