Credit Risk in Equity Deals
20 Pages Posted: 22 Jun 2013 Last revised: 12 Mar 2015
Date Written: June 17, 2013
Abstract
This paper presents a new solution technique for the non-linear pricing equation of equity contingency claims that arises in the presence of CVA adjustments. Our approach is based on a perturbation approximation of the full PDE that employs the duality relationships between parameter- and hedging-sensitivities as well as Ito integral calculus.
Keywords: CVA, Monte Carlo, AAD, Duality
JEL Classification: G13
Suggested Citation: Suggested Citation
Reghai, Adil and Kettani, Othmane and Messaoud, Marouen, Credit Risk in Equity Deals (June 17, 2013). Available at SSRN: https://ssrn.com/abstract=2280366 or http://dx.doi.org/10.2139/ssrn.2280366
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