Total value adjustment for a stochastic volatility model. A...

Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model

Salvador, Beatriz, Oosterlee, Cornelis W.
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Volume:
391
Journal:
Applied Mathematics and Computation
DOI:
10.1016/j.amc.2020.125489
Date:
February, 2021
File:
PDF, 2.39 MB
2021
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