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AUTHOR(S): Michele Bonollo, Luca Di Persio, Luca Mammi, Immacolata Oliva
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TITLE Counterparty Credit Risk Evaluation for Accumulator Derivatives: the Brownian Local Time Approach |
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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. |
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KEYWORDS Counterparty Credit Risk, Brownian Local Time, Accumulator Derivatives |
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Cite this paper Michele Bonollo, Luca Di Persio, Luca Mammi, Immacolata Oliva. (2016) Counterparty Credit Risk Evaluation for Accumulator Derivatives: the Brownian Local Time Approach. Economics and Management Systems, 1, 188-191 |
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