"CVA and vulnerable options pricing by correlation expansions."

Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti (2021)

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DOI: 10.1007/S10479-019-03367-Z

access: closed

type: Journal Article

metadata version: 2021-04-29

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Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti:
CVA and vulnerable options pricing by correlation expansions. Ann. Oper. Res. 299(1): 401-427 (2021)

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