A computational approach to hedging credit valuation adjustment in a jump-diffusion setting

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Publication:2661050

DOI10.1016/j.amc.2020.125671zbMath1476.91205arXiv2005.10504OpenAlexW3090399261MaRDI QIDQ2661050

Lech A. Grzelak, Thomas van der Zwaard, 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://arxiv.org/abs/2005.10504






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