XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods
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XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methodsDate
2021Citation
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
Abstract
[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.
Keywords
Partial differential equations
Mathematical analysis
Numerical methods
Mathematical analysis
Numerical methods
Description
En actas del XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones. XVI Congreso de Matemática Aplicada. Gijón, 14-18 junio 2021
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Atribución-NoComercial-SinDerivadas 3.0 España © 2021 Universidad de Oviedo © Los autores
ISBN
978-84-18482-21-2