CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024921500102zbMath1467.62163arXiv1907.12922OpenAlexW3134357783MaRDI QIDQ4994443

Sergio Scarlatti, Alessandro Ramponi, Fabio Antonelli, Elisa Alòs

Publication date: 18 June 2021

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

Full work available at URL: https://arxiv.org/abs/1907.12922

zbMATH Keywords

stochastic volatility modelcredit value adjustment (CVA)intensity approachvulnerable options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ Wrong way risk corrections to CVA in CIR reduced-form models ⋮ Pricing vulnerable fader options under stochastic volatility models ⋮ CVA in fractional and rough volatility models

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