5 papers
Approximate XVA for European claims
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateraliz…
A moment matching method for option pricing under stochastic interest rates
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method,…
CVA and vulnerable options in stochastic volatility models
Elisa Alos, Fabio Antonelli, Alessandro Ramponi +1
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerni…
CVA and vulnerable options pricing by correlation expansions
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we mo…
Random Time Forward Starting Options
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determin…