Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation (Q2334884): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.camwa.2018.05.012 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2805398592 / rank | |||
Normal rank | |||
Revision as of 23:02, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation |
scientific article |
Statements
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation (English)
0 references
8 November 2019
0 references
(non)linear PDEs
0 references
option pricing
0 references
counterparty risk
0 references
credit value adjustment
0 references
method of characteristics
0 references
finite element method
0 references
