Mathematical analysis of a nonlinear PDE model for European options with counterparty risk
Comptes Rendus Mathematique(2019)
摘要
In this work, we analyze a nonlinear partial differential equation (PDE) model for the total value adjustment on European options in the presence of a counterparty risk. We transform the nonlinear PDE into an equivalent one, involving a sectorial operator, and prove the existence and uniqueness of a solution.
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