CVA and vulnerable options in stochastic volatility models (Q4994443)
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scientific article; zbMATH DE number 7360859
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CVA and vulnerable options in stochastic volatility models |
scientific article; zbMATH DE number 7360859 |
Statements
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (English)
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18 June 2021
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credit value adjustment (CVA)
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vulnerable options
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stochastic volatility model
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intensity approach
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0.8882907032966614
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0.8753078579902649
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0.8701278567314148
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0.8038200736045837
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0.7981759905815125
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