CVA in fractional and rough volatility models

Elisa Alòs, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti

Type: Article

Publication Date: 2022-12-05

Citations: 1

DOI: https://doi.org/10.1016/j.amc.2022.127715

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arXiv (Cornell University) - View - PDF
Applied Mathematics and Computation - View

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