Jimmy Law

Ernst & Young, UK

1 MORE LONDON PLACE

LONDON, SE1 2AF

United Kingdom

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Scholarly Papers (1)

1.

Efficient Option Pricing Under Levy Processes, with CVA and FVA

Number of pages: 31 Posted: 25 Mar 2015
Bank of China International, Ernst & Young, UK and Calico Science Consulting
Downloads 127 (234,350)

Abstract:

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