Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Yuwei Chen and Christina C. Christara
| 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
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| Subject: | Black-Scholes | default risk | credit valuation adjustment | nonlinear iteration | Crank-Nicolson | control problem | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Kreditrisiko | Credit risk | CAPM | Black-Scholes-Modell | Black-Scholes model | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.402 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012544162