A forward equation for computing derivatives exposure
Year of publication: |
2019
|
---|---|
Authors: | Lapeyre, Bernard ; Taarit, Marouan Iben |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 3, p. 1-26
|
Subject: | XVA adjustments | expected exposure | Dupire's equation | co-area formula | local times | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
-
A study on numerical solution of Black-Scholes model
Anwar, Md. Nurul, (2018)
-
First-order calculus and option pricing
Carr, Peter, (2014)
-
Path-dependent option valuation when the underlying path is discontinuous
Zhou, Chunsheng, (1997)
- More ...
-
Introduction to stochastic calculus applied to finance
Lamberton, Damien, (2008)
-
Convenient multiple directions of stratification
Jourdain, Benjamin, (2011)
-
Hedging index options with few assets
Lamberton, Damien, (1993)
- More ...