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XVA
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Numerical Methods for European Option Pricing with BSDEs
Keyword:
FT scheme
,
XVA
,
Linear Regression Monte Carlo method
, and
BSDE
Creator:
Min, Ming
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2018-04-24
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
Arbitrage-Free Pricing of XVA for American Options in Discrete Time
Keyword:
funding spread
,
XVA
,
American option
,
counterpart credit risk
, and
no-arbitrage
Creator:
Zhou, Tingwen
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2017-04-26
Resource Type:
Thesis
Degree:
MS
Unit (Department):
Mathematical Sciences
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Creator
Min, Ming
1
Zhou, Tingwen
1
Advisor
Sturm, Stephan
2
Contributor
Sturm, Stephan
2
Unit (Department)
Mathematical Sciences
2
Publisher
Worcester Polytechnic Institute
2
Resource type
Thesis
2
