XVA in a multi-currency setting with stochastic foreign exchange rates
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Publication:6102925
DOI10.1016/j.matcom.2022.12.014MaRDI QIDQ6102925
Roberta Simonella, Carlos Vázquez
Publication date: 26 June 2023
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
European optionsmulti-currencytotal value adjustmentPicard iteration methodsstochastic foreign exchange rates
Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cites Work
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