CVA and vulnerable options pricing by correlation expansions

DOI10.1007/s10479-019-03367-zzbMath1480.91285arXiv1811.07294OpenAlexW2974178925WikidataQ127241291 ScholiaQ127241291MaRDI QIDQ2241073

Fabio Antonelli, Sergio Scarlatti, Alessandro Ramponi

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07294

zbMATH Keywords

Duhamel principleaffine processescounterparty credit riskcredit value adjustmentvalnerable optionswrong way risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Related Items (5)

Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ Wrong way risk corrections to CVA in CIR reduced-form models ⋮ Extending the Merton model with applications to credit value adjustment ⋮ CVA in fractional and rough volatility models ⋮ Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes

Uses Software

• QRM

Cites Work

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