A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2014; you can also visit the original URL.
The file type is
The purpose of this paper is to design an algorithm for the computation of the counterparty risk which is competitive in regards of a brute force "Monte-Carlo of Monte-Carlo" method (with nested simulations). This is achieved using marked branching diffusions describing a Galton-Watson random tree. Such an algorithm leads at the same time to a computation of the (bilateral) counterparty risk when we use the default-risky or counterparty-riskless option values as mark-to-market. Our method isdoi:10.2139/ssrn.1995503 fatcat:46xpzev5uzcadc7crtlakgdgi4