PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
type: Item
instance of: scholarly article
title: PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
zbMATH Open document ID: 1411.91613
author: Iñigo Arregui
author: Beatriz Salvador
author: Carlos Vázquez
published in: Applied Mathematics and Computation
publication date: 2019-03-29T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7045330
zbMATH Keywords: counterparty risk
zbMATH Keywords: credit value adjustments
zbMATH Keywords: (non)linear PDEs
zbMATH Keywords: characteristics method
zbMATH Keywords: finite elements
zbMATH Keywords: augmented Lagrangian active set method
MaRDI profile type: Publication
full work available at URL: j.amc.2017.03.008
OpenAlex ID: W2599446604
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DOI: 10.1016/J.AMC.2017.03.008
description: scientific article; zbMATH DE number 7045330