منابع مشابه
Efficient option pricing under Lévy processes, with CVA and FVA
We generalize the Piterbarg [1] model to include (1) bilateral default risk as in Burgard and Kjaer [2], and (2) jumps in the dynamics of the underlying asset using general classes of Lévy processes of exponential type. We develop an efficient explicit-implicit scheme for European options and barrier options taking CVA-FVA into account. We highlight the importance of this work in the context of...
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ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2020
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v12n2p65