CVA for Cliquet options under Heston model
Yaqin Feng, Min Wang, Yuanqing Zhang
| Year of publication: |
2019
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|---|---|
| Authors: | Feng, Yaqin ; Wang, Min ; Zhang, Yuanqing |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 48.2019, p. 272-282
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| Subject: | Cliquet option | Counterparty credit risk | Credit value adjustment | Heston model | PDE | Stochastic volatility | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.02.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012120248