CVA for Cliquet options under Heston model
Year of publication: |
2019
|
---|---|
Authors: | Feng, Yaqin ; Wang, Min ; Zhang, Yuanqing |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 48.2019, p. 272-282
|
Subject: | Cliquet option | Counterparty credit risk | Credit value adjustment | Heston model | PDE | Stochastic volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Kreditrisiko | Credit risk |
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