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An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
An Efficient Distributable Risk CVA Calculation
2010/10/22
The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is ess...
Risk-neutral and Physical Jumps in Option Pricing
Option Pricing price dynamics physical jumps
2011/4/6
When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carl...