XVA at the exercise boundary

Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs

XVA  calculator



XVA is a material component of a trade valuation and hence it must impact the decision to exercise options. 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. In this paper Andrew Green and Chris Kenyon describe how XVA impacts the exercise decision and how this can b

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: