Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''
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DOI: 10.1016/j.amc.2021.125999
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Cited by:
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- Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
- Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
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Keywords
(non)linear PDEs; Heston model; Expected Exposure; Potential Future Exposure; credit value adjustment; finite element method;All these keywords.
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