A Multi-Level Monte-Carlo with FEM for XVA in European Options
Counterparty credit risk has been recently incorporated in the pricing of financial derivatives by adding different adjustments, the set of which is referred as XVA. In the case of European options to consider stochastic default intensities, instead of constant ones, a three factor model arises.
https://wsc.project.cwi.nl/abcxva/overview-research-programme/publications/esr3-graziana-colonna/graziana_et_al_2022.pdf/view
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A Multi-Level Monte-Carlo with FEM for XVA in European Options
Counterparty credit risk has been recently incorporated in the pricing of financial derivatives by adding different adjustments, the set of which is referred as XVA. In the case of European options to consider stochastic default intensities, instead of constant ones, a three factor model arises.