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Filtragem por: O Criador Zhou, Tingwen Palavra-chave American option

Arbitrage-Free Pricing of XVA for American Options in Discrete Time

Palavra-chave:

funding spread, XVA, American option, counterpart credit risk, and no-arbitrage

O Criador:

Zhou, Tingwen

Advisor:

Sturm, Stephan

Editor:

Worcester Polytechnic Institute

Data Criada:

2017-04-26

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences