英文标题：
《XVA at the Exercise Boundary》
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作者：
Andrew Green and Chris Kenyon
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最新提交年份：
2016
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英文摘要：
XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and secured / cleared trades where KVA and MVA play a material role even if CVA and FVA do not. However, this effect has frequently been ignored in XVA models and indeed in exercise decisions made by option owners. This paper describes how XVA impacts the exercise decision and how this can be readily evaluated using regression techniques (Longstaff and Schwartz 2001). The paper then assesses the materiality of the impact of XVA at the exercise boundary on swaption examples.
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中文摘要：
XVA是交易估值的重要组成部分，因此它必须影响在给定净额集中行使期权的决定。无担保交易和担保/清算交易都是如此，其中KVA和MVA起着重要作用，即使CVA和FVA不起作用。然而，在XVA模型中，甚至在期权所有者做出的行使决策中，这种影响经常被忽视。本文描述了XVA如何影响运动决策，以及如何使用回归技术轻松评估（Longstaff和Schwartz 2001）。然后，本文评估了XVA在行权边界对掉期期权示例的影响的重要性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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