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.
Reference
Related
Cited by
Get Citation
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