XVA in a multi-currency setting with stochastic foreign exchange rates
In the present article we address the modelling and the numerical computation of the total value adjustment for European options in a multi-currency setting when the foreign exchange rates between the different involved currencies are assumed to be stochastic.
https://wsc.project.cwi.nl/abcxva/overview-research-programme/publications/esr4-roberta-simonella/simonella_vazquez_mcs_2022.pdf/view
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XVA in a multi-currency setting with stochastic foreign exchange rates
In the present article we address the modelling and the numerical computation of the total value adjustment for European options in a multi-currency setting when the foreign exchange rates between the different involved currencies are assumed to be stochastic.