Arregui, ÍñigoSalvador, BeatrizŠevčovič, D.Vázquez, Carlos2024-07-162024-07-162021Arregui, 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 Publicaciones978-84-18482-21-2http://hdl.handle.net/2183/38080En actas del XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones. XVI Congreso de Matemática Aplicada. Gijón, 14-18 junio 2021[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.engAtribución-NoComercial-SinDerivadas 3.0 España© 2021 Universidad de Oviedo© Los autoreshttp://creativecommons.org/licenses/by-nc-nd/3.0/es/Partial differential equationsMathematical analysisNumerical methodsXVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methodsconference outputopen access