Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Year of publication: |
2021
|
---|---|
Authors: | Chen, Yuwei ; Christara, Christiana C. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2021, 4, p. 41-70
|
Subject: | Black-Scholes | default risk | credit valuation adjustment | nonlinear iteration | Crank-Nicolson | control problem | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
-
The valuation of option contracts subject to counterparty risk
Sturn, Raphael Christian Benedikt, (2019)
-
Closed-form interpolation-based formulas for European call options written on defaultable assets
Orosi, Greg, (2015)
-
Credit derivative evaluation and CVA under the benchmark approach
Baldeaux, Jan, (2015)
- More ...
-
The implications of good faith in the interpretation of tax treaties
Chen, Geoffrey Yuwei, (2023)
-
A Quadratic Voltage Model with Modifications for Optimal Power Flow of Meshed Networks
Chen, Yuwei, (2022)
-
Penalty Methods for Bilateral XVA Pricing in European and American Contingent Claims by a PDE Model
Chen, Yuwei, (2021)
- More ...