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
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Czech description
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Classification
Type
J<sub>ost</sub> - Miscellaneous article in a specialist periodical
CEP classification
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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
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EID of the result in the Scopus database
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