CVA and vulnerable options pricing by correlation expansions

We consider the problem of computing the credit value adjustment (CVA) of a European option in presence of the wrong way risk in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an...

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Vydáno v:	Annals of operations research Ročník 299; číslo 1-2; s. 401 - 427
Hlavní autoři:	Antonelli, F., Ramponi, A., Scarlatti, S.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Témata:	Adjusting entries Asset management Business and Management Combinatorics Correlation Correlation (Statistics) Credit Credit risk Default Funding Interest rates Linear equations Linear programming Liquidity Market prices Methods Operations research Operations Research/Decision Theory Options (Finance) Prices and rates S.I.: Recent Developments in Financial Modeling and Risk Management Securities prices Theory of Computation Valuation Italy Rome Italy XVA Affine processes 91G60 Vulnerable options 60J70 Counterparty credit risk 91G20 Wrong way risk Credit value adjustment Duhamel principle
ISSN:	0254-5330, 1572-9338
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