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FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION - MaRDI portal

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION (Q3460683)

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English
FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION
scientific article

    Statements

    title
    FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION (English)
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    author
    Tianyang Nie
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    Marek Rutkowski
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    publication date
    8 January 2016
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    zbMATH Keywords
    hedging
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    fair prices
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    borrowing rate
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    lending rate
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    margin agreement
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    BSDE
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H10
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    60G44
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    60H30
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    zbMATH DE Number
    6527660
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