Pricing derivatives with counterparty risk and collateralization: a fixed point approach

DOI10.1016/j.ejor.2015.06.055zbMath1346.91234arXiv1501.06221OpenAlexW3121846808MaRDI QIDQ320989

Tim Leung, Jinbeom Kim

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.06221

zbMATH Keywords

bilateral counterparty riskcollateralizationcredit valuation adjustmentfixed point method contraction mapping

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (8)

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ MULTI-CURRENCY CREDIT DEFAULT SWAPS ⋮ Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures ⋮ Integrated structural approach to credit value adjustment ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models ⋮ Approximate value adjustments for European claims

Cites Work

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• Option pricing when underlying stock returns are discontinuous
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

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