Efficient Willow Tree Algorithm for Credit Valuation Adjustment of Stock Options
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F830.91

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