ListarGI-M2NICA - Artigos por tema "European options"

Mostrando ítems 1-2 de 2

    • Total Value Adjustment for European Options in a Multi‐Currency Setting 

      Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (Elsevier, 2022)
      [Abstract] In this article we mainly extend to a multi-currency setting some previous works in the literature concerning total value adjustments in a single currency framework. The motivation comes from the fact that ...

    • XVA in a multi-currency setting with stochastic foreign exchange rates 

      Simonella, Roberta; Vázquez, Carlos (Elsevier B.V., 2023-05)
      [Abstract]: In the present article we address the modelling and the numerical computation of the total value adjustment for European options in a multi-currency setting when the foreign exchange rates between the different ...