4 papers · 1 filter
CVA in fractional and rough volatility models
Elisa Alòs, Fabio Antonelli, Alessandro Ramponi +1
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models fo…
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…