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Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method
[article]
2022
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Ideally the compound density would be (after a logarithmic transformation of the asset prices) Gaussian. ...
It employs a mixing distribution on the tree parameters, which are restricted to give prescribed mean and variance. ...
Acknowledgments We want to acknowledge Marta Ferrario and Luca Pettinari for their earlier contributions to the theory of the MC-Tree method in this paper. ...
doi:10.48550/arxiv.2202.00785
fatcat:qeyni7tksjar7afb6k3hof36my