A note on a PDE approach to option pricing under xVA

Kód výsledku v 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>
Výsledek na webu
<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>

Jazyk výsledku
angličtina
Název v původním jazyce
A note on a PDE approach to option pricing under xVA
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
A note on a PDE approach to option pricing under xVA
Popis výsledku anglicky
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.

Projekt
<a href="/cs/project/GA18-16680S" target="_blank" >GA18-16680S: Rough modely frakcionální stochastické volatility</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění
2022
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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