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Filtrado por: Palabra clave funding spread

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

Palabra clave:

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

Creador:

Zhou, Tingwen

Advisor:

Sturm, Stephan

Editor:

Worcester Polytechnic Institute

Fecha de Creacion:

2017-04-26

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences