Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Crossref DOI link: https://doi.org/10.1007/s10287-020-00365-6
Published Online: 2020-06-06
Published Print: 2020-06
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Goudenège, Ludovic
Molent, Andrea
Zanette, Antonino
Text and Data Mining valid from 2020-06-01
Version of Record valid from 2020-06-01
Article History
Received: 10 October 2019
Accepted: 10 April 2020
First Online: 6 June 2020