Computing credit valuation adjustment solving coupled PIDEs in the Bates model (Q2221460)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing credit valuation adjustment solving coupled PIDEs in the Bates model |
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Computing credit valuation adjustment solving coupled PIDEs in the Bates model (English)
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2 February 2021
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credit value adjustment
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hybrid methods
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PIDE
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Monte Carlo
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Bates model
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