Efficient Willow Tree Algorithm for Credit Valuation Adjustment of Stock Options

doi:10.11908/j.issn.0253-374x.2019.11.016

Home > Archive>Volume 47, Issue 11, 2019 >1656-1663. DOI:10.11908/j.issn.0253-374x.2019.11.016

Efficient Willow Tree Algorithm for Credit Valuation Adjustment of Stock Options
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                        10.11908/j.issn.0253-374x.2019.11.016
                    
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Abstract:

An efficient willow tree algorithm is proposed to price CVA (credit valuation adjustment) with WWR(wrong way risk), which can also calibrate the default probability by credit swap spreads. Besides, some numerical experiments are presented to illustrate the accuracy and efficiency of the proposed method.

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WANG Guangguang, XU Wei. Efficient Willow Tree Algorithm for Credit Valuation Adjustment of Stock Options[J].同济大学学报(自然科学版),2019,47(11):1656~1663

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Received:February 28,2019
Revised:August 13,2019
Adopted:June 03,2019
Online: December 05,2019
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