Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
Bing Dong, Wei Xu and Guangguang Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Dong, Bing ; Xu, Wei ; Wang, Guangguang |
| Subject: | credit valuation adjustment (CVA) | wrong-way risk | Bermudan option | intensity rate model | jump-at-default model | early exercise boundary | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Risiko | Risk | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2023.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487048