Pricing and hedging vulnerable option with funding costs and collateral
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Publication:1663930
DOI10.1016/j.chaos.2018.04.042zbMath1395.91446OpenAlexW2801083120WikidataQ129866913 ScholiaQ129866913MaRDI QIDQ1663930
Publication date: 24 August 2018
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2018.04.042
collateralbackward stochastic differential equationslocal volatilityEuropean vulnerable optionfunding spreads
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (1)
Cites Work
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