Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations

During the COVID-19 pandemic, many institutions have announced that their counterparties are struggling to fulfill contracts. Therefore, it is necessary to consider the counterparty default risk when pricing options. After the 2008 financial crisis, a variety of value adjustments have been emphasize...

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Veröffentlicht in:	Chaos (Woodbury, N.Y.) N.Y.), 2022-02, Vol.32 (2), p.023127-023127
Hauptverfasser:	Yuan, Gangnan, Ding, Deng, Duan, Jinqiao, Lu, Weiguo, Wu, Fengyan
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Simulation Cosine series COVID-19 Finite difference method Fourier series Humans Mathematical analysis Monte Carlo Method Monte Carlo simulation Pandemics Partial differential equations Pricing SARS-CoV-2 Stochastic models Stochastic processes
Online-Zugang:	Volltext
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