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Revision as of 18:21, 5 March 2024
scientific article; zbMATH DE number 7360859
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS |
scientific article; zbMATH DE number 7360859 |
Statements
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (English)
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18 June 2021
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credit value adjustment (CVA)
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vulnerable options
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stochastic volatility model
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intensity approach
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