PDE models and numerical methods for total value adjustment in European and American options with counterparty risk

  1. Arregui, I.
  2. Salvador, B.
  3. Vázquez, C.
Journal:
Applied Mathematics and Computation

ISSN: 0096-3003

Year of publication: 2017

Volume: 308

Pages: 31-53

Type: Article

DOI: 10.1016/J.AMC.2017.03.008 GOOGLE SCHOLAR
Data source: Scopus