英文标题：
《Fast Calculation of Credit Exposures for Barrier and Bermudan options
  using Chebyshev interpolation》
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作者：
Kathrin Glau, Ricardo Pachon and Christian P\\\"otz
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最新提交年份：
2019
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英文摘要：
  We introduce a new method to calculate the credit exposure of Bermudan, discretely monitored barrier and European options. Core of the approach is the application of the dynamic Chebyshev method of Glau et al. (2019). The dynamic Chebyshev method delivers a closed form approximation of the option prices along the paths together with the options\' delta and gamma. Key advantage is the polynomial structure of the approximation, which allows us a highly efficient evaluation of the credit exposures, even for a large number of simulated paths. The approach is highly flexible in the model choice, payoff profiles and asset classes. We compute the exposure profiles for Bermudan and barrier options in three different equity models and compare them to the profiles of European options. The analysis reveals potential shortcomings of common simplifications in the exposure calculation. The proposed method is sufficiently simple and efficient to avoid such risk-bearing simplifications.
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中文摘要：
我们引入了一种新的方法来计算百慕大的信用风险敞口、离散监控屏障和欧洲期权。该方法的核心是应用Glau等人（2019）的动态切比雪夫方法。动态切比雪夫方法提供沿路径的期权价格的闭合形式近似值以及期权的delta和gamma。关键优势在于近似的多项式结构，这使我们能够高效地评估信贷风险，即使对于大量模拟路径也是如此。该方法在模型选择、收益概况和资产类别方面具有高度灵活性。我们计算了三种不同股票模型中百慕大和障碍期权的风险敞口分布，并将其与欧洲期权的分布进行了比较。分析揭示了暴露计算中常见简化的潜在缺陷。所提出的方法足够简单和有效，可以避免这种风险承担的简化。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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