Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043)
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scientific article; zbMATH DE number 6628442
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| English | Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options |
scientific article; zbMATH DE number 6628442 |
Statements
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (English)
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19 September 2016
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structural pricing model
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credit value adjustment (CVA)
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cap
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floor
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Basel III
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vulnerable European options
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reduced-form model
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0.7791577577590942
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0.7686554789543152
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0.7539931535720825
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0.7417657375335693
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0.7406105399131775
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