Mathematical analysis of a nonlinear PDE model for European options with counterparty risk

DOI10.1016/j.crma.2019.03.001zbMath1411.91537OpenAlexW2924849867WikidataQ128209752 ScholiaQ128209752MaRDI QIDQ2418694

Beatriz Salvador, Iñigo Arregui, Daniel Ševčovič, Carlos Vázquez

Publication date: 28 May 2019

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2019.03.001

zbMATH Keywords

nonlinear partial differential equationEuropean optionscounterparty risk

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models

Cites Work

• Geometric theory of semilinear parabolic equations
• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
• Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation