CVA and vulnerable options in Stochastic volatility models
E. Alòs, F. Antonelli, A. Ramponi, S. Scarlatti
| Year of publication: |
2021
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|---|---|
| Authors: | Alòs, Elisa ; Antonelli, Fabio ; Ramponi, A. ; Scarlatti, S. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 2, p. 1-34
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| Subject: | Credit value adjustment | vulnerable options | Stochastic volatility model | intensity approach | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500102 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012650293