• Corpus ID: 233481659

A note on a PDE approach to option pricing under xVA

@article{Baustian2021ANO,
  title={A note on a PDE approach to option pricing under xVA},
  author={Falko Baustian and Martin Fencl and Jan Posp{\'i}sil and Vladim{\'i}r Sv{\'i}gler},
  journal={ArXiv},
  year={2021},
  volume={abs/2105.00051}
}
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to the risk-free financial derivative values and the PDE approach allows their easy incorporation. The aim of this paper is to show how to solve the PDE analytically in the Black-Scholes setting to get new semi-closed formulas that we compare to the widely used Monte-Carlo simulations and to the numerical solutions of… 

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