信用评估调整
信用风险
估价(财务)
计算机科学
交易对手
违约风险
代理(统计)
期权估价
原创性研究
跳跃扩散
精算学
最佳停车
嵌入式选项
违约概率
跳跃
计量经济学
数学优化
财务
经济
机器学习
数学
物理
量子力学
图书馆学
资信证明
作者
Bing Dong,Wei Xu,Guangguang Wang
标识
DOI:10.21314/jcf.2023.013
摘要
Calculating the credit valuation adjustment (CVA) of a Bermudan option with wrong-way risk is computationally challenging because of the highly demanding simulations and the presence of two stopping times: the counterparty default time and the optimal early exercise time. In this paper we propose an efficient and accurate numerical framework for CVA evaluation that fully avoids simulations, with the wrong-way risk tracked by both the intensity rate model and the jump-at-default model. The optimal exercise boundary impacted by the counterparty credit risk can also be determined under the same framework. Our method therefore provides a proxy that can aid regulatory frameworks and allow option pricing and CVA quotes to be executed on the same platform.
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