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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).
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Longstall, F.A., Schwartz, E.S. : Valuing American options by simulation: a simple least-squares approach
1997
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López-Mimbela, J.A., Wakolbinger, A. : Length of Galton-Watson trees and blow-up of semilinear systems
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Dynkin, E.B. : Diffusions, superdiffusions and partial differential equations
2002
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Rogers, L.C. : Monte-Carlo valuation of American options
2002
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Benth, F.E., Karlsen, K.H., Reikvam, K. : A semilinear Black and Scholes partial differential equation for valuing American options
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Andersen, L., Broadie, M. : A Primal-Dual Simulation Algorithm for Pricing Multi-Dimensional American Options
Brigo, D. Pallavicini, A. : Counterparty risk and CCDSs under correlation
2008
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Méléard, S. : Modèles aléatoires en Ecologie et Evolution
2009
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Touzi, N. : Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
2010
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Brigo, D., Morini, M. : Close-out convention tensions
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Fahim, A., Touzi, N., Warin, X. : A probabilistic numerical method for fully nonlinear parabolic PDEs
2011
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2004
Cited alongside, same era.