Arbitrage‐free XVA
开发了一个计算欧式合约总估值调整（XVA）的框架，考虑融资成本、交易对手信用风险和抵押品，基于无套利推导出买卖双方的XVA，并给出显式解和数值示例。
Abstract We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no‐arbitrage arguments, we derive backward stochastic differential equations associated with the replicating portfolios of long and short positions in the claim. This leads to the definition of buyer's and seller's XVA, which in turn identify a no‐arbitrage interval. In the case that borrowing and lending rates coincide, we provide a fully explicit expression for the unique XVA, expressed as a percentage of the price of the traded claim, and for the corresponding replication strategies. In the general case of asymmetric funding, repo, and collateral rates, we study the semilinear partial differential equations characterizing buyer's and seller's XVA and show the existence of a unique classical solution to it. To illustrate our results, we conduct a numerical study demonstrating how funding costs, repo rates, and counterparty risk contribute to determine the total valuation adjustment.