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XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods

dc.contributor.authorArregui, Íñigo
dc.contributor.authorSalvador, B.
dc.contributor.authorSevcovic, D.
dc.contributor.authorVázquez, C.
dc.date.accessioned2021-06-15T08:16:34Z
dc.date.available2021-06-15T08:16:34Z
dc.date.issued2021
dc.identifier.citationArregui, 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
dc.identifier.isbn978-84-18482-21-2
dc.identifier.urihttp://hdl.handle.net/10651/59057
dc.description.abstractIn 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.spa
dc.format.extentp. 44-50spa
dc.language.isoengspa
dc.publisherServicio de Publicaciones de la Universidad de Oviedospa
dc.relation.ispartofProceedings of the XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones. XVI Congreso de Matemática Aplicadaspa
dc.rights© Los autores
dc.rights© 2021 Universidad de Oviedo
dc.rightsCC Reconocimiento - No comercial - Sin obras derivadas 3.0 España
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.titleXVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methodsspa
dc.typebook partspa
dc.rights.accessRightsopen access
dc.type.hasVersionVoR


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