Nonlinear Valuation with XVAs: Two Converging Approaches
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Cited by:
- Alessio Calvelli, 2022. "No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives," Papers 2208.08746, arXiv.org, revised Jun 2024.
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Keywords
risk-neutral valuation; replication; funding costs; default; collateral;All these keywords.
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