PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
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DOI: 10.1016/j.amc.2017.03.008
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Cited by:
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- T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
- Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020.
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- Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial option valuation by unsupervised learning with artificial neural networks," Papers 2005.12059, arXiv.org.
- Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''," Applied Mathematics and Computation, Elsevier, vol. 406(C).
- Arregui, Iñigo & Simonella, Roberta & Vázquez, Carlos, 2022. "Total value adjustment for European options in a multi‐currency setting," Applied Mathematics and Computation, Elsevier, vol. 413(C).
- Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model," Applied Mathematics and Computation, Elsevier, vol. 391(C).
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Keywords
Counterparty risk; Credit value adjustments; (Non)linear PDEs; Characteristics method; Finite elements; Augmented Lagrangian active set method;All these keywords.
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