AUTHOR=Law Jimmy , Shek Chun K., Levendorskii Sergei 

TITLE=Efficient option pricing under Lévy processes, with CVA and FVA

JOURNAL=Frontiers in Applied Mathematics and Statistics

VOLUME=Volume 1 - 2015

YEAR=2015

URL=https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2015.00006

DOI=10.3389/fams.2015.00006

ISSN=2297-4687

ABSTRACT=We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012),
 and 2) jumps in the dynamics of the underlying asset using general classes of L\'evy
  processes of exponential type.
  We develop an efficient explicit-implicit scheme for European options and barrier options taking CVA-FVA into account. We
  highlight the importance of this work in the context of trading, pricing and management a
  derivative portfolio given the trajectory of regulations.