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Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
11 references·0 citing·36 second hop
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation (2018)Total value adjustment for European optio…PDE models and numerical methods for total value adjustment in European and American options with counterparty risk (2017)PDE models and numerical meth…Counterparty Risk and Funding: A Tale of Two Puzzles (2014)Counterparty Risk and Funding…Counterparty Credit Risk, Collateral and Funding (2013)Counterparty Credit Risk, Col…Counterparty Credit Risk and Credit Value Adjustment (2012)Counterparty Credit Risk and …PDE and Martingale Methods in Option Pricing (2011)PDE and Martingale Methods in…Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs (2010)Partial Differential Equation…Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange–Galerkin methods (2006)Numerical solution of variati…A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (2005)A Semi-Lagrangian Approach fo…Elementary Stochastic Calculus, With Finance in View (1998)Elementary Stochastic Calculu…An upwind numerical approach for an American and European option pricing model (1998)An upwind numerical approach …Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Mathematics of Financial Derivatives (1995)Two-factor convertible bonds valuation using the method of characteristics/finite elements (2003)Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricing (2015)Option pricing when underlying stock returns are discontinuous (1976)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Financial Modelling with Jump Processes (2003)Pricing methods and hedging strategies for volatility derivatives (2005)Implications of a regime-switching model on natural gas storage valuation and optimal operation (2009)Penalty methods for continuous-time portfolio selection with proportional transaction costs (2010)Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)High-order computational methods for option valuation under multifactor models (2012)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Counterparty Risk and the Pricing of Defaultable Securities (2001)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2012)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations (2019)Numerical Solution of Stochastic Differential Equations (2016)Explicit implied volatilities for multifactor local-stochastic volatility models (2017)Pricing climate-related risks in the bond market (2021)Valuation and Hedging of Contracts with Funding Costs and Collateralization (2015)Counterparty risk and funding: immersion and beyond (2016)Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework (2020)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (2014)The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk (2016)Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs (2017)LIBOR vs. OIS: The Derivatives Discounting Dilemma (2013)Safe Haven CDS Premiums (2018)A guided walk down Wall Street: an introduction to econophysics (2004)Valuation techniques for infrastructure investment decisions (2004)Testing for Granger causality in large mixed-frequency VARs (2016)
this work references cited by second hop

References

  • 1994Option pricing: Mathematical models and computation805 cited
  • 2011PDE and Martingale Methods in Option Pricing278 cited
  • 1998Elementary Stochastic Calculus, With Finance in View207 cited
  • 2010Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs179 cited
  • 2013Counterparty Credit Risk, Collateral and Funding176 cited
  • 2005A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion102 cited
  • 2012Counterparty Credit Risk and Credit Value Adjustment101 cited
  • 1998An upwind numerical approach for an American and European option pricing model85 cited
  • 2014Counterparty Risk and Funding: A Tale of Two Puzzles62 cited
  • 2006Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange–Galerkin methods32 cited
  • 2017PDE models and numerical methods for total value adjustment in European and American options with counterparty risk26 cited

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