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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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| _version_ | 1867613206810198016 |
|---|---|
| access_status_str | Open Access |
| author | Pavlou, Petro |
| author2 | Ouwehand, Peter |
| author_browse | Ouwehand, Peter Pavlou, Petro |
| author_facet | Ouwehand, Peter Pavlou, Petro |
| author_sort | Pavlou, Petro |
| collection | Thesis |
| description | 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. This dissertation focuses solely on the capital valuation adjustment (KVA) and aims to use the definition of KVA as set out by Albanese et al. (2016) in an investigation of different numerical techniques for calculating KVA. A single equity forward is considered first, followed by an equity option and then portfolios of options on two underlying assets, with the dissertation ending by considering a practical example on discrete delta and vega-delta hedging an index option. The numerical approaches explored are the binomial tree method and a combination of the crude and quasi-Monte Carlo method. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/30880 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:27.580Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/30880 KVA in Black Scholes Pricing Pavlou, Petro Ouwehand, Peter Mahomed, Obeid Mathematical Finance 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. This dissertation focuses solely on the capital valuation adjustment (KVA) and aims to use the definition of KVA as set out by Albanese et al. (2016) in an investigation of different numerical techniques for calculating KVA. A single equity forward is considered first, followed by an equity option and then portfolios of options on two underlying assets, with the dissertation ending by considering a practical example on discrete delta and vega-delta hedging an index option. The numerical approaches explored are the binomial tree method and a combination of the crude and quasi-Monte Carlo method. 2020-02-06T08:24:16Z 2020-02-06T08:24:16Z 2019 2020-02-04T07:49:25Z Master Thesis Masters MPhil http://hdl.handle.net/11427/30880 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | Mathematical Finance Pavlou, Petro KVA in Black Scholes Pricing |
| thesis_degree_str | Master's |
| title | KVA in Black Scholes Pricing |
| title_full | KVA in Black Scholes Pricing |
| title_fullStr | KVA in Black Scholes Pricing |
| title_full_unstemmed | KVA in Black Scholes Pricing |
| title_short | KVA in Black Scholes Pricing |
| title_sort | kva in black scholes pricing |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/30880 |
| work_keys_str_mv | AT pavloupetro kvainblackscholespricing |