Ludovic Goudenège, Andrea Molent, Antonino Zanette. Computing credit valuation adjustment solving coupled PIDEs in the Bates model. Comput. Manag. Science, 17(2):163-178, 2020. [doi]
@article{GoudenegeMZ20,
title = {Computing credit valuation adjustment solving coupled PIDEs in the Bates model},
author = {Ludovic Goudenège and Andrea Molent and Antonino Zanette},
year = {2020},
doi = {10.1007/s10287-020-00365-6},
url = {https://doi.org/10.1007/s10287-020-00365-6},
researchr = {https://researchr.org/publication/GoudenegeMZ20},
cites = {0},
citedby = {0},
journal = {Comput. Manag. Science},
volume = {17},
number = {2},
pages = {163-178},
}