Pricing and hedging vulnerable option with funding costs and collateral

DOI10.1016/j.chaos.2018.04.042zbMath1395.91446OpenAlexW2801083120WikidataQ129866913 ScholiaQ129866913MaRDI QIDQ1663930

Xingyu Han

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

zbMATH Keywords

collateralbackward stochastic differential equationslocal volatilityEuropean vulnerable optionfunding spreads

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Two frameworks for pricing defaultable derivatives

Cites Work

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
• On Cox processes and credit risky securities
• A closed form solution for vulnerable options with Heston's stochastic volatility
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• BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
• Backward Stochastic Differential Equations in Finance
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Arbitrage‐free XVA
• Nonlinearity Valuation Adjustment
• Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
• Contingent claim valuation in a market with different interest rates
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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