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Title: Efficient Option Pricing under Levy Processes, with CVA and FVA
Authors: Shek, C. K.
Law, J.
Levendorskiĭ, Sergei
First Published: 14-Jul-2015
Publisher: Frontiers Media S.A.
Citation: Frontiers in Applied Mathematics and Statistics, 1:6 2015
Abstract: We generalize the Piterbarg [1] model to include (1) bilateral default risk as in Burgard and Kjaer [2], and (2) jumps in the dynamics of the underlying asset using general classes of Lévy processes of exponential type. We develop an efficient explicit-implicit scheme for European options and barrier options taking CVA-FVA into account. We highlight the importance of this work in the context of trading, pricing and management a derivative portfolio given the trajectory of regulations.
DOI Link: 10.3389/fams.2015.00006
eISSN: 2297-4687
Version: Publisher Version
Status: Peer-reviewed
Type: Journal Article
Rights: © 2015 Shek, Law and Levendorskiĭ. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
Appears in Collections:Published Articles, Dept. of Mathematics

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