"Computing credit valuation adjustment solving coupled PIDEs in the Bates ..."

Ludovic Goudenège, Andrea Molent, Antonino Zanette (2020)

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DOI: 10.1007/S10287-020-00365-6

access: closed

type: Journal Article

metadata version: 2023-09-30

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Ludovic Goudenège, Andrea Molent, Antonino Zanette:
Computing credit valuation adjustment solving coupled PIDEs in the Bates model. Comput. Manag. Sci. 17(2): 163-178 (2020)

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