Listar GI-M2NICA - Congresos, conferencias, etc. por autor "Ševčovič, D."
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XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods
Arregui, Íñigo; Salvador, Beatriz; Ševčovič, D.; Vázquez, Carlos (Universidad de Oviedo, Servicio de Publicaciones, 2021)[Abstract]: In this work, we derive new linear and nonlinear partial differential equations (PDEs) models for pricing American options and total value adjustment in the presence of counterparty risk. Moreover, stochastic ...