Randomized Neural Networks for estimation of exposure profiles and Credit Valuation Adjustment (CVA) for American Equity Options (opens in new tab)

This thesis studies the use of randomized neural networks for the estimation of exposure profiles and unilateral CVA of American options within a Monte Carlo framework. The analysis is carried out separately under both Black-Scholes and Heston dynamics, combining American option valuation, expected exposure and potential future exposure estimation, and unilateral CVA calculation with portfolio netting effects. The numerical experiment compares t...