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

Beatriz Salvador, Cornelis W. Oosterlee (2021)

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DOI: 10.1016/J.AMC.2020.125489

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type: Journal Article

metadata version: 2020-12-29

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Beatriz Salvador, Cornelis W. Oosterlee:
Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model. Appl. Math. Comput. 391: 125489 (2021)

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