Pathwise XVA Greeks for early-exercise products

The calculation of XVA Greeks for portfolios with early-exercise products is discussed

Future values

CLICK HERE TO VIEW THE PDF

Alexander Antonov, Serguei Issakov, Michael Konikov, Andy McClelland and Serguei Mechkov investigate pathwise XVA Greeks for early-exercise products and ask whether one can avoid differentiating through exercise boundaries. They find it can be avoided using conditioning arguments, but this is only feasible for simple collateral arrangements and portfolios with a single early-exercise instrument. Careful differentiation through exercise boundaries is critical to

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: