Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043)
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scientific article; zbMATH DE number 6628442
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options |
scientific article; zbMATH DE number 6628442 |
Statements
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (English)
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19 September 2016
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structural pricing model
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credit value adjustment (CVA)
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cap
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floor
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Basel III
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vulnerable European options
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reduced-form model
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