Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation

DOI10.1016/j.camwa.2018.05.012zbMath1426.91261OpenAlexW2805398592MaRDI QIDQ2334884

Daniel Ševčovič, Carlos Vázquez, Beatriz Salvador, Iñigo Arregui

Publication date: 8 November 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.05.012

zbMATH Keywords

finite element methodoption pricingmethod of characteristicscounterparty riskcredit value adjustment(non)linear PDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cites Work

• PDE and martingale methods in option pricing.
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• Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
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• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
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