XVA in a multi-currency setting with stochastic foreign exchange rates (Q6102925)
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scientific article; zbMATH DE number 7701018
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | XVA in a multi-currency setting with stochastic foreign exchange rates |
scientific article; zbMATH DE number 7701018 |
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XVA in a multi-currency setting with stochastic foreign exchange rates (English)
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26 June 2023
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total value adjustment
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multi-currency
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stochastic foreign exchange rates
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European options
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Picard iteration methods
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