论文标题
CVA在分数和粗糙的波动率模型中
CVA in fractional and rough volatility models
论文作者
论文摘要
在这项工作中，我们为脆弱的欧洲选项的价格提供了一个一般代表性公式，以及在承认与默认事件相关时的随机（粗糙或不进行粗糙）波动率模型中相关的CVA。我们将其专门用于某些波动率模型，并根据表示公式提供价格近似值。我们以数字研究它们的准确性，将结果与蒙特卡洛模拟进行比较，并对误差进行了理论研究。我们还介绍了一项针对索赔价格的粗糙度影响的开创性研究。
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with the default event. We specialize it for some volatility models and we provide price approximations, based on the representation formula. We study numerically their accuracy, comparing the results with Monte Carlo simulations, and we run a theoretical study of the error. We also introduce a seminal study of roughness influence on the claim's price.
