CVA in fractional and rough volatility models
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference29 articles.
1. Malliavin differentiability of the heston volatility and applications to option pricing;Alòs;Advances in Applied Probability,2008
2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility;Alòs;Finance and Stochastics, Springer,2007
3. Malliavin Calculus in Finance. Theory and Practice;Alòs,2021
4. CVA and vulnerable options in stochastic volatility models;Alòs;International Journal of Theoretical and Applied Finance,2021
5. CVA and vulnerable options pricing by correlation expansions;Antonelli;Annals of Operation Research,2021
Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Wrong Way Risk corrections to CVA in CIR reduced-form models;Computational Management Science;2023-10-16
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