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no-arbitrage
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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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Masters Theses
1
Year
2017
1
Creator
Zhou, Tingwen
1
Advisor
Sturm, Stephan
1
Contributor
Sturm, Stephan
1
Unit (Department)
Mathematical Sciences
1
Publisher
Worcester Polytechnic Institute
1
Resource type
Thesis
1
