Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation (Q2334884): Difference between revisions
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Revision as of 06:45, 5 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)
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8 November 2019
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(non)linear PDEs
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option pricing
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counterparty risk
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credit value adjustment
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method of characteristics
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finite element method
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