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A note on a PDE approach to option pricing under xVA

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F22%3A43961855" target="_blank" >RIV/49777513:23520/22:43961855 - isvavai.cz</a>

  • Result on the web

    <a href="https://wilmott.com/wilmott-magazine-march-2022-issue/" target="_blank" >https://wilmott.com/wilmott-magazine-march-2022-issue/</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.54946/wilm.11004" target="_blank" >10.54946/wilm.11004</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    A note on a PDE approach to option pricing under xVA

  • Original language description

    In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to the risk-free financial derivative values and the PDE approach allows their easy incorporation. The aim of this paper is to show how to solve the PDE analytically in the Black-Scholes setting to get new semi-closed formulas that we compare to the widely used Monte-Carlo simulations and to the numerical solutions of the PDE. Particular example of collateral taken as the values from the past will be of interest.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>ost</sub> - Miscellaneous article in a specialist periodical

  • CEP classification

  • OECD FORD branch

    10102 - Applied mathematics

Result continuities

  • Project

    <a href="/en/project/GA18-16680S" target="_blank" >GA18-16680S: Rough models of fractional stochastic volatility</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2022

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Wilmott

  • ISSN

    1540-6962

  • e-ISSN

    1541-8286

  • Volume of the periodical

    2022

  • Issue of the periodical within the volume

    118

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    10

  • Pages from-to

    60-69

  • UT code for WoS article

  • EID of the result in the Scopus database