Total value adjustment for European options in a multi‐currency setting

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Authors: Iñigo Arregui; Roberta Simonella; Carlos Vázquez

Journal title: Applied Mathematics and Computation

Journal number: 9

Journal publisher: Elsevier BV

Published year: 2022

Published pages: 126647

DOI identifier: 10.1016/j.amc.2021.126647

ISSN: 0096-3003