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CONIC CVA AND DVA FOR OPTION PORTFOLIOS - MaRDI portal

CONIC CVA AND DVA FOR OPTION PORTFOLIOS (Q5147998)

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scientific article; zbMATH DE number 7303449
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CONIC CVA AND DVA FOR OPTION PORTFOLIOS
scientific article; zbMATH DE number 7303449

    Statements

    title
    CONIC CVA AND DVA FOR OPTION PORTFOLIOS (English)
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    author
    Sjoerd van Bakel
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    Svetlana Borovkova
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    Matteo Michielon
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    publication date
    29 January 2021
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    zbMATH Keywords
    conic finance
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    CVA
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    DVA
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    bid-ask spread
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    liquidity
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    commodity option
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    futures option
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    distortion function
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    Wang transform
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    black model
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    Identifiers

    zbMATH DE Number
    7303449
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    OpenAlex ID
    W3125871410
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