Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
DOI10.1016/j.amc.2020.125489zbMath1479.91415OpenAlexW3084321921MaRDI QIDQ2661015
Beatriz Salvador, Cornelis W. Oosterlee
Publication date: 1 April 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2020.125489
finite element methodHeston modelcredit value adjustment(non)linear PDEsexpected exposurepotential future exposure
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Credit risk (91G40)
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