Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations
Computational Finance
2021-05-18 v1
Abstract
We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio. We assume that the portfolio contains several exotic derivatives that are priced using Monte-Carlo on each real world scenario and time step. Such a setting is often referred to as a Monte Carlo over a Monte Carlo or a Nested Monte Carlo method.
Keywords
Cite
@article{arxiv.2105.07061,
title = {Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations},
author = {Yuriy Krepkiy and Asif Lakhany and Amber Zhang},
journal= {arXiv preprint arXiv:2105.07061},
year = {2021}
}