Total value adjustment for European options in a multi‐currency setting

作者：

Highlights：

• XVA for derivatives in multicurrency setting is required by financial markets.

• Extensions of PDEs and expectations formulations from single to multicurrency.

• Numerical methods for the solving expectations formulations are proposed.

• Examples of XVA pricing for different options in multicurrency setting are included.

摘要

•XVA for derivatives in multicurrency setting is required by financial markets.•Extensions of PDEs and expectations formulations from single to multicurrency.•Numerical methods for the solving expectations formulations are proposed.•Examples of XVA pricing for different options in multicurrency setting are included.

论文关键词：European options,Multi-currency,Counterparty risk,Total value adjustment,Monte Carlo method

论文评审过程：Received 8 January 2021, Revised 26 July 2021, Accepted 31 August 2021, Available online 22 September 2021, Version of Record 22 September 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126647