CVA in fractional and rough volatility models
نویسندگان
چکیده
In this work we present a general representation formula for the price of vulnerable European option, and related CVA in stochastic (either rough or not) volatility models underlying’s price, when admitting correlation with default event. We specialize it some provide approximations, based on formula. study numerically their accuracy, comparing results Monte Carlo simulations, run theoretical error. also introduce seminal roughness influence claim’s price.
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2023
ISSN: ['1873-5649', '0096-3003']
DOI: https://doi.org/10.1016/j.amc.2022.127715