Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''

نویسندگان

چکیده

Since the 2007/2008 financial crisis, total value adjustment (XVA) should be included when pricing derivatives. In present paper, derivative values of European and American options have been priced where we take into account counterparty risk. Whereas considering risk already under Black-Scholes dynamics in [2], here novel contribution is introduction stochastic volatility resulting a Heston type partial differential equation to solved. We derive modeling XVA assumed. For both options, linear nonlinear problem deduced. order obtain numerical solution, suitable appropriate boundary conditions considered. addition, method characteristics for time discretization combined with finite element spatial has implemented. The expected exposure potential future are also computed compare current model associated Black–Scholes model.

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ژورنال

عنوان ژورنال: Applied Mathematics and Computation

سال: 2021

ISSN: ['1873-5649', '0096-3003']

DOI: https://doi.org/10.1016/j.amc.2021.125999