Total value adjustment for a stochastic volatility model. A comparison with the Black

Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model

Published:2021-02 Issue: Volume:391 Page:125489
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Salvador Beatriz,Oosterlee Cornelis W.

Funder

European Research Consortium for Informatics and Mathematics

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference26 articles.

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