Pathwise XVA Greeks for early-exercise products
Numerix quants investigate how to efficiently calculate XVA sensitivities for early-exercise products
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Alexander Antonov, Serguei Issakov, Michael Konikov, Andy McClelland and Serguei Mechkov investigate pathwise XVA Greeks for early-exercise products and ask whether one can avoid differentiating through exercise boundaries. They find it can be avoided using conditioning arguments, but this is only feasible for simple collateral arrangements and portfolios with a single early-exercise instrument. Careful differentiation through exercise boundaries is critical to
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