Etd
Numerical Methods for European Option Pricing with BSDEs
公开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.
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- Language
- English
- Identifier
- etd-042418-231436
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- Year
- 2018
- Date created
- 2018-04-24
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