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

DI PERSIO, Luca
;
BONOLLO, Michele;Oliva, Immacolata;
2016-01-01

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.
2016
Counterparty Credit Risk, Brownian Local Time, Accumulator Derivatives
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/948303
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