CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (Q4994443): Difference between revisions

@@ Property / author @@
-Elisa Alòs
@@ Property / author: Elisa Alòs / rank @@
-Normal rank
@@ Property / author @@
+Elisa Alòs
@@ Property / author: Elisa Alòs / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / arXiv ID @@
+.12922
@@ Property / arXiv ID: 1907.12922 / rank @@
+Normal rank
@@ Property / cites work @@
+A decomposition formula for option prices in the Heston model and applications to option pricing approximation
+Normal rank
@@ Property / cites work @@
+Pricing options under stochastic volatility: a power series approach
+Normal rank
@@ Property / cites work @@
+RANDOM TIME FORWARD-STARTING OPTIONS
@@ Property / cites work: RANDOM TIME FORWARD-STARTING OPTIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Q5169724
@@ Property / cites work: Q5169724 / rank @@
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
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@@ Property / cites work @@
+The Numerical Solution of the American Option Pricing Problem
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@@ Property / cites work @@
+Analytical pricing of vulnerable options under a generalized jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Some Extensions of Norros’ Lemma in Models with Several Defaults
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+Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
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+Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 -- April 1, 2015
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+On the martingale property of stochastic exponentials
+Normal rank
@@ Property / cites work @@
+A closed form solution for vulnerable options with Heston's stochastic volatility
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q5754578
@@ Property / cites work: Q5754578 / rank @@
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+An essay on the general theory of stochastic processes
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@@ Property / cites work @@
+An Elementary Proof that the First Hitting Time of an Open Set by a Jump Process is a Stopping Time
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@@ Property / cites work @@
+ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable options with stochastic volatility
+Normal rank
@@ Property / OpenAlex ID @@
+W3134357783
@@ Property / OpenAlex ID: W3134357783 / rank @@
+Normal rank