Faculty Advisor or Committee Member

Stephan Sturm, Advisor

Identifier

etd-042418-231436

Abstract

This paper aims to calculate the all-inclusive European option price based on XVA model numerically. For European type options, the XVA can be calculated as so- lution of a BSDE with a specific driver function. We use the FT scheme to find a linear approximation of the nonlinear BSDE and then use linear regression Monte Carlo method to calculate the option price.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2018-04-24

Accessibility

Unrestricted

Subjects

XVA, BSDE, FT scheme, Linear Regression Monte Carlo method

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