Efficient Computation of Various Valuation Adjustments Under Local Lévy Models
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Publication:4635249
DOI10.1137/16M1099005zbMath1408.91230arXiv1905.01706MaRDI QIDQ4635249
Anastasia Borovykh, Cornelis W. Oosterlee, Andrea Pascucci
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.01706
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical solutions to stochastic differential and integral equations (65C30)
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