Counterparty Credit Risk evaluation for Accumulator derivatives: the Brownian Local Time approach
نویسنده
چکیده
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. Key–Words: Counterparty Credit Risk, Brownian Local Time, Accumulator Derivatives
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