Arbitrage-free XVA (Q4642733)
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scientific article; zbMATH DE number 6873736
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Arbitrage-free XVA |
scientific article; zbMATH DE number 6873736 |
Statements
Arbitrage‐free XVA (English)
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25 May 2018
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arbitrage-free valuation
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backward stochastic differential equations
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counterparty credit risk
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funding spreads
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XVA
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0.8487285375595093
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0.8275096416473389
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0.8214284181594849
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