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http://hdl.handle.net/2183/38080

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

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Arregui_Inigo_2021_XVA_for_American_options_with_two_stochastic_factors.pdf (989.6 KB)

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URI: http://hdl.handle.net/2183/38080

Publication date

2021

Authors

Ševčovič, D.

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Journal Title

Bibliographic citation

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

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Academic degree

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.

Description

En actas del XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones. XVI Congreso de Matemática Aplicada. Gijón, 14-18 junio 2021

Keywords

Partial differential equations Mathematical analysis Numerical methods

Editor version

http://hdl.handle.net/10651/59057

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Atribución-NoComercial-SinDerivadas 3.0 España
© 2021 Universidad de Oviedo
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Atribución-NoComercial-SinDerivadas 3.0 España

Except where otherwise noted, this item's license is described as Atribución-NoComercial-SinDerivadas 3.0 España