This paper aims to calculate the all-inclusive European option price based on XVA model numerically. For European type options, the XVA can be calculated as so- lution of a BSDE with a specific driver function. We use the FT scheme to find a linear approximation of the nonlinear BSDE and then use linear regression Monte Carlo method to calculate the option price.
| Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-2168 |
| Date | 24 April 2018 |
| Creators | Min, Ming |
| Contributors | Stephan Sturm, Advisor, , |
| Publisher | Digital WPI |
| Source Sets | Worcester Polytechnic Institute |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Masters Theses (All Theses, All Years) |
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