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Binary funding impacts in derivative valuation - MaRDI portal

Binary funding impacts in derivative valuation (Q6054135)

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scientific article; zbMATH DE number 7742858
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English
Binary funding impacts in derivative valuation
scientific article; zbMATH DE number 7742858

    Statements

    title
    Binary funding impacts in derivative valuation (English)
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    author
    Junbeom Lee
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    Chao Zhou
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    publication date
    27 September 2023
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    zbMATH Keywords
    bilateral contracts
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    BSDEs
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    funding benefits
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    Malliavin calculus
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    nonlinear markets
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    cites work
    Arbitrage‐free XVA
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    Q4274285
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    Identifiers

    arXiv ID
    1703.00259
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    DOI
    10.1111/mafi.12287
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    Mathematics Subject Classification ID
    91G20
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    60H07
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    35Q91
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    zbMATH DE Number
    7742858
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    OpenAlex ID
    W3085702795
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