Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

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Authors: Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee

Journal title: SIAM Journal on Financial Mathematics

Journal number: 9/1

Journal publisher: Society for Industrial and Applied Mathematics Publications

Published year: 2018

Published pages: 251-273

DOI identifier: 10.1137/16m1099005

ISSN: 1945-497X