PDE models and numerical methods for total value adjustment in European and American options with counterparty risk (Q1738076)
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scientific article; zbMATH DE number 7045330
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| English | PDE models and numerical methods for total value adjustment in European and American options with counterparty risk |
scientific article; zbMATH DE number 7045330 |
Statements
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk (English)
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29 March 2019
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counterparty risk
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credit value adjustments
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(non)linear PDEs
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characteristics method
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finite elements
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augmented Lagrangian active set method
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0.873583197593689
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0.8471750020980835
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0.8402906060218811
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0.8107199668884277
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0.8041728138923645
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