Author:
Arregui Iñigo,Simonella Roberta,Vázquez Carlos
Subject
Applied Mathematics,Computational Mathematics
Reference25 articles.
1. Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation;Arregui;Comput. Math. Appl.,2018
2. PDE models and numerical methods for total value adjustment in European and American options with counterparty risk;Arregui;Appl. Math. Comput.,2017
3. A Monte Carlo approach to American options pricing including counterparty risk;Arregui;Int. J. Comput. Math.,2019
4. C. Beck, M. Hutzenthaler, A. Jentzen, On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations, 2020, arXiv preprint arXiv:2004.03389v2.
5. Efficient XVA computation under local Lévy models;Borovykh;SIAM J. Financ. Math.,2018
Cited by
2 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