Elisa Alòs, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti. CVA in fractional and rough volatility models. Applied Mathematics and Computation, 442:127715, 2023. [doi]
@article{AlosARS23,
title = {CVA in fractional and rough volatility models},
author = {Elisa Alòs and Fabio Antonelli and Alessandro Ramponi and Sergio Scarlatti},
year = {2023},
doi = {10.1016/j.amc.2022.127715},
url = {https://doi.org/10.1016/j.amc.2022.127715},
researchr = {https://researchr.org/publication/AlosARS23},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {442},
pages = {127715},
}