PDE models for total value adjustment in European and American options
نویسندگان
چکیده
Since the beginning of the last crisis, financial entities have made an important effort on managing the different aspects of risk. So, different adjustments (XVA) on risk–free derivative value are now included in derivative contracts. In particular, the credit value adjustment (CVA) refers to the increment on the price of a contract due to the possibility of default of one (or both) of the parts. Adjustments on debit (DVA) and funding (FVA) are also important issues included in XVA.
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