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Arbitrage-Free Pricing of XVA for Options in Discrete Time

Schöpfer:

Bonner, Catherine Jean and Campanelli, Jeremiah

Advisor:

Sturm, Stephan and Wang, Gu

Herausgeber:

Worcester Polytechnic Institute

Datum erstellt:

2016-03-25

Resource Type:

Major Qualifying Project

Award:

Provost's MQP Award