Index Catalog // 蹄兔

清除筛选

筛选: 关键词 funding spread 出版者 Worcester Polytechnic Institute

Arbitrage-Free Pricing of XVA for American Options in Discrete Time

关键词:

funding spread, XVA, American option, counterpart credit risk, and no-arbitrage

创造者:

Zhou, Tingwen

Advisor:

Sturm, Stephan

出版者:

Worcester Polytechnic Institute

创建日期:

2017-04-26

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences