A Note on a PDE Approach to Option Pricing Under xVA
نویسندگان
چکیده
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different adjustments denoted generally as xVA are nowadays added the risk-free financial derivative values and PDE approach allows their easy incorporation. The aim of is show how solve analytically in Black-Scholes setting get new semi-closed formulas compare widely standard approximations by Monte-Carlo simulations numerical finite-differences solutions PDE. Particular example collateral taken from past will interest.
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ژورنال
عنوان ژورنال: Wilmott
سال: 2022
ISSN: ['1541-8286', '1540-6962']
DOI: https://doi.org/10.54946/wilm.11004