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Filtering by: Contributor Sturm, Stephan Keyword counterpart credit risk

Arbitrage-Free Pricing of XVA for American Options in Discrete Time

Keyword:

funding spread, XVA, American option, counterpart credit risk, and no-arbitrage

Creator:

Zhou, Tingwen

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2017-04-26

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences