Showing 2020Show all
2 papers · 1 filter
q-fin.PR2020
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…
q-fin.CP2020
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,…