XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods
Author:
Publication date:
2021
Editorial:
Servicio de Publicaciones de la Universidad de Oviedo
Citación:
Arregui, I. et al. (2021) XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods. En Gallego, R. y Mateos, M.(editores) Proceedings of the XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones. XVI Congreso de Matemática Aplicada (pp. 44-50). Oviedo : Universidad de Oviedo, Servicio de Publicaciones
Descripción física:
p. 44-50
Abstract:
In this work, we derive new linear and nonlinear partial differential equations (PDEs) models for pricing American options and total value adjustment in the presence of counterparty risk. Moreover, stochastic spreads are considered, which increases the dimension of the problem.
In this work, we derive new linear and nonlinear partial differential equations (PDEs) models for pricing American options and total value adjustment in the presence of counterparty risk. Moreover, stochastic spreads are considered, which increases the dimension of the problem.
ISBN:
978-84-18482-21-2