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.
Worcester Polytechnic Institute
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Min, Ming, "Numerical Methods for European Option Pricing with BSDEs" (2018). Masters Theses (All Theses, All Years). 1169.
XVA, BSDE, FT scheme, Linear Regression Monte Carlo method