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"Efficient Computation of Various Valuation Adjustments Under Local ..."

Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee (2018)

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DOI: 10.1137/16M1099005

access: closed

type: Journal Article

metadata version: 2019-10-19

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  - journals/siamfm/BorovykhPO18
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Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee:
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models. SIAM J. Financial Math. 9(1): 251-273 (2018)

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