PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution-Reference-Cited by-同舟云学术

PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution

Published:2020-03 Issue:5 Volume:79 Page:1525-1542
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Arregui Iñigo^ORCID,Salvador Beatriz,Ševčovič Daniel^ORCID,Vázquez Carlos^ORCID

Funder

Spanish MINECO

Galician Government, Spain

FEDER, Spain

Spanish FPI Program

Slovakian Government

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference23 articles.

1. PDE models and numerical methods for total value adjustment in European and American options with counterparty risk;Arregui;Appl. Math. Comput.,2017

2. A Monte Carlo approach to American options pricing including counterparty risk;Arregui;Int. J. Comput. Math.,2019

3. L.M. García-Muñoz, CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions, 2014. Available at http://mpra.ub.uni-muenchen.de/55990/.

4. Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation;Arregui;Comput. Math. Appl.,2018

5. Nonlinear variational inequalities of semilinear parabolic type;Jeong;J. Inequal. Appl.,2001

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