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KVA in Black Scholes Pricing
The post 2007-financial crisis era has led to renewed zeal in quantifying market incompleteness when pricing contingent claims. This quantification exercise is necessary in maintaining a stable and sustainable banking operation and thus the XVAs have emerged as the metrics for market incompleteness....
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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