A Multi-Level Monte Carlo Lagrange-Galerkin method for solving a XVA hybrid model in European options
In this article we consider XVA pricing models for European options that incorporate three stochastic factors, namely, the price of the underlying asset and the intensities of default of the investor and the hedger, with the corresponding stochastic differential equations (SDEs) that govern their dynamics
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A Multi-Level Monte Carlo Lagrange-Galerkin method for solving a XVA hybrid model in European options
In this article we consider XVA pricing models for European options that incorporate three stochastic factors, namely, the price of the underlying asset and the intensities of default of the investor and the hedger, with the corresponding stochastic differential equations (SDEs) that govern their dynamics