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"CVA in fractional and rough volatility models."

Elisa Alòs et al. (2023)

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DOI: 10.1016/J.AMC.2022.127715

access: closed

type: Journal Article

metadata version: 2023-06-26

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Elisa Alòs, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti:
CVA in fractional and rough volatility models. Appl. Math. Comput. 442: 127715 (2023)

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