Autor:	Paolo Pellicioli, Gaetano La Bua, Roberto Baviera
Rok vydání:	2016
Předmět:	Tree (data structure) Hull Econometrics Credit valuation adjustment Mathematics
Zdroj:	Innovations in Derivatives Markets ISBN: 9783319334455
Popis:	Hull–White approach of CVA with embedded WWR (Hull and White, Financ. Anal. J. 68:58-69, 2012, [11]) can be easily applied also to portfolios of derivatives with early termination features. The tree-based approach described in Baviera et al. (Int. J. Financ. Eng. 2015, [1]) allows to deal with American or Bermudan options in a straightforward way. Extensive numerical results highlight the nontrivial impact of early exercise on CVA.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::941390b3c41938cc9870cef536bb58b8 https://doi.org/10.1007/978-3-319-33446-2_5 Zobrazit plný text záznamu