Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' |
scientific article |
Statements
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (English)
0 references
11 November 2021
0 references
(non)linear PDEs
0 references
Heston model
0 references
expected exposure
0 references
potential future exposure
0 references
credit value adjustment
0 references
finite element method
0 references
0 references
0 references
0 references
0 references
