Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation

  1. Arregui, I.
  2. Salvador, B.
  3. Ševčovič, D.
  4. Vázquez, C.
Journal:
Computers and Mathematics with Applications

ISSN: 0898-1221

Year of publication: 2018

Volume: 76

Issue: 4

Pages: 725-740

Type: Article

DOI: 10.1016/J.CAMWA.2018.05.012 GOOGLE SCHOLAR
Data source: Scopus