Before revision: In this paper, we investigate conditions to represent derivative price under XVA explicitly. As long as we consider different borrowing/lending rates, XVA problem becomes a non-linear equa- tion and this makes finding explicit solution of XVA difficult.
After revision: In this paper, we investigate conditions to convert nonlinear equations of XVA to linear equations. As we consider different borrowing/lending rates, XVA problem becomes a non-linear equa- tion and this makes finding explicit solution of XVA difficult.