Justin Shek

Bank of China International

Hong Kong

China

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Scholarly Papers (1)

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Efficient Option Pricing Under Levy Processes, with CVA and FVA

Number of pages: 31 Posted: 25 Mar 2015
Justin Shek, Jimmy Law and Sergei Levendorskii
Bank of China International, Ernst & Young, UK and Calico Science Consulting
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Abstract:

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Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), KoBoL, CGMY, Variance Gamma, DEJD, European Options, Barrier Options