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Keywords: FVA
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2015) 32 (3): 298–321.
Published: 03 August 2015
...Lixin Wu; Chonhong Li Purpose – The purpose of this paper is to provide a framework of replication pricing of derivatives and identify funding valuation adjustment (FVA) and credit valuation adjustments (CVA) as price components. Design/methodology/approach – The authors propose the notion...
