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"PDE models and numerical methods for total value adjustment in European ..."

Iñigo Arregui, Beatriz Salvador, Carlos Vázquez (2017)

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DOI: 10.1016/J.AMC.2017.03.008

access: closed

type: Journal Article

metadata version: 2020-12-29

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Iñigo Arregui, Beatriz Salvador, Carlos Vázquez:
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. Appl. Math. Comput. 308: 31-53 (2017)

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