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- W73066448 abstract "The 2008 credit crisis exposed the over-simplified assumptions of the Black-Scholes-Merton (BSM) model. This paper provides an overview of some of the adjustments forced on the BSM model by the 2008 credit crisis to maintain the relevance of the model. The inclusion of credit value adjustment (CVA), debit value adjustment (DVA), funding value adjustment (FVA) and the posting of collateral in the BSM model are discussed." @default.
- W73066448 created "2016-06-24" @default.
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- W73066448 date "2014-12-16" @default.
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- W73066448 title "An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis" @default.
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- W73066448 doi "https://doi.org/10.1007/978-3-319-13449-9_3" @default.
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