Approximate value adjustments for European claims

Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti

European Journal of Operational Research, 2022, vol. 300, issue 3, 1149-1161

Abstract: We consider the problem of computing the Value Adjustment of European contingent claims when the possibility of default of either party is considered, possibly including also funding and collateralization requirements.

Keywords: Pricing; Credit value adjustment; Defaultable claims; XVA; Affine processes (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:300:y:2022:i:3:p:1149-1161

DOI: 10.1016/j.ejor.2021.10.029

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