COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK

DOI10.1142/S021902491750056XzbMath1395.91440OpenAlexW2781791160MaRDI QIDQ4602499

Qian Feng, Cornelis W. Oosterlee

Publication date: 11 January 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491750056x

zbMATH Keywords

Bermudan optionscredit valuation adjustment (CVA)nonnested Monte Carlowrong way risk (WWR)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Wrong way risk corrections to CVA in CIR reduced-form models

Cites Work

• Pricing the risks of default
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Evaluation of counterparty risk for derivatives with early-exercise features
• Pricing Bermudan options under local Lévy models with default
• Credit Risk Modeling
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Counterparty Credit Risk, Collateral and Funding
• Credit risk: Modelling, valuation and hedging

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