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Arbitrage-Free Pricing of XVA for American Options in Discrete Time

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Figure

Table 3.1: Payoff table of the option
Figure 3.2: One-period American option pricing process with funding spread from t n to t n+1 inside the multi-period model with funding spread.
Figure 4.1: The American option pricing process in the model with counterparty credit risk when N = 1.
Figure 5.1: The American option transaction process with considering counter-party credit risk and funding spread
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