کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6891695 1445337 2018 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
ترجمه فارسی عنوان
تعدیل ارزش کل برای گزینه های اروپایی با دو عامل تصادفی. مدل ریاضی، تحلیل و شبیه سازی عددی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی
In the present paper we derive novel (non)linear PDE models for pricing European options and the associated total value adjustment (XVA), when incorporating the counterparty risk. The main innovative aspect is the consideration of stochastic spreads instead of less realistic constant spreads previously used in the literature. For the nonlinear model, a rigorous mathematical analysis based on sectorial differential operators allows to state the existence and uniqueness of a solution. Moreover, for the numerical solution we propose an appropriate set of techniques based on the method of characteristics for time discretization, finite element for spatial discretization and fixed point iteration for the nonlinear terms. Finally, numerical examples illustrate the expected behaviour of the option prices and the total value adjustment.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 76, Issue 4, 15 August 2018, Pages 725-740
نویسندگان
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