Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation (Q6101754)
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scientific article; zbMATH DE number 7699008
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| English | Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation |
scientific article; zbMATH DE number 7699008 |
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Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation (English)
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20 June 2023
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partial differential equations
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Black-Scholes
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Crank-Nicolson finite differences
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mean reversion CIR process
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stochastic default intensity
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asymptotic approximation
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0.8041728138923645
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0.7853792309761047
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0.7695574164390564
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0.7689357995986938
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0.765321671962738
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