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Approximate value adjustments for European claims

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  • Antonelli, Fabio
  • Ramponi, Alessandro
  • Scarlatti, Sergio

Abstract

We consider the problem of computing the Value Adjustment of European contingent claims when the possibility of default of either party is considered, possibly including also funding and collateralization requirements.

Suggested Citation

  • Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
    • Handle: RePEc:eee:ejores:v:300:y:2022:i:3:p:1149-1161
    DOI: 10.1016/j.ejor.2021.10.029
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    References listed on IDEAS

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    Cited by:

    1. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.

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