This paper aims to calculate the all-inclusive European option price based on XVA model numerically. For European type options, the XVA can be calculated as so- lution of a BSDE with a specific driver function. We use the FT scheme to find a linear approximation of the nonlinear BSDE and then use linear regression Monte Carlo method to calculate the option price.

Creator

• Min, Ming

Contributors

• Sturm, Stephan

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042418-231436

Keyword

• FT scheme
• XVA
• Linear Regression Monte Carlo method
• BSDE

Advisor

• Sturm, Stephan

Defense date

• 2018-04-24

Year

• 2018

Date created

• 2018-04-24

Resource type

• Thesis

Rights statement

• In Copyright