Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
Anastasia Borovykh,
Andrea Pascucci and
Cornelis Oosterlee
Papers from arXiv.org
Abstract:
Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FBSDEs. In this paper we develop a Fourier-based method for solving FBSDEs in order to efficiently and accurately price Bermudan derivatives, including options and swaptions, with XVA under the flexible dynamics of a local L\'evy model: this framework includes a local volatility function and a local jump measure. Due to the unavailability of the characteristic function for such processes, we use an asymptotic approximation based on the adjoint formulation of the problem.
Date: 2019-05
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Published in SIAM Journal on Financial Mathematics 9 (1), 251-273, 2018
Downloads: (external link)
http://arxiv.org/pdf/1905.01706 Latest version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1905.01706
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).