英文标题：
《CVA and vulnerable options pricing by correlation expansions》
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作者：
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
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最新提交年份：
2018
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英文摘要：
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 model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an approximate evaluation of the option\'s price, by exploiting a correlation expansion approach, introduced in \\cite{AS}. We compare the numerical performance of such a method with that recently proposed by Brigo et al. (\\cite{BR18}, \\cite{BRH18}) in the case of a call option driven by a GBM correlated with the CIR default intensity. We additionally report some numerical evaluations obtained by other methods.
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中文摘要：
我们考虑在违约强度设置下，在存在错误方向风险（{WWR}）的情况下，计算欧式期权的信用价值调整（{CVA}）的问题。也就是说，我们将资产价格演变建模为一个线性方程的解，该方程可能取决于不同的随机因素，我们通过利用相关展开方法（在{as}中介绍）提供期权价格的近似评估。我们将这种方法的数值性能与Brigo等人最近提出的方法进行了比较，在由与CIR违约强度相关的GBM驱动的看涨期权的情况下。我们还报告了通过其他方法获得的一些数值计算结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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