Alòs, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S. CVA and vulnerable options in stochastic volatility models. (English) Zbl 1467.62163 Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150010, 34 p. (2021). MSC: 62P05 62H20 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{E. Alòs} et al., Int. J. Theor. Appl. Finance 24, No. 2, Article ID 2150010, 34 p. (2021; Zbl 1467.62163) Full Text: DOI arXiv
Antonelli, F.; Ramponi, A.; Scarlatti, S. Exchange option pricing under stochastic volatility: a correlation expansion. (English) Zbl 1202.91311 Rev. Deriv. Res. 13, No. 1, 45-73 (2010). MSC: 91G20 60H10 PDFBibTeX XMLCite \textit{F. Antonelli} et al., Rev. Deriv. Res. 13, No. 1, 45--73 (2010; Zbl 1202.91311) Full Text: DOI Link