Yanbin Shen, Johannes A. M. van der Weide, Jasper H. M. Anderluh. A Benchmark Approach of Counterparty Credit Exposure of Bermudan Option under Lévy Process: The Monte Carlo-COS Method. In Vassil N. Alexandrov, Michael Lees, Valeria V. Krzhizhanovskaya, Jack Dongarra, Peter M. A. Sloot, editors, Proceedings of the International Conference on Computational Science, ICCS 2013, Barcelona, Spain, 5-7 June, 2013. Volume 18 of Procedia Computer Science, pages 1163-1171, Elsevier, 2013. [doi]
Abstract is missing.