Contingent claim valuation in a market with different interest rates

DOI10.1007/BF01432504zbMath0836.90010OpenAlexW2023139074MaRDI QIDQ4859449

Ralf Korn

Publication date: 7 January 1996

Published in: [https://portal.mardi4nfdi.de/entity/Q4289815 ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research] (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01432504

zbMATH Keywords

option pricingBlack-Scholes formulacontingent claim valuationdifferent interest ratesconstrained portfolio problemsEuropean call and put options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (14)

Counterparty risk and funding: immersion and beyond ⋮ Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates ⋮ Optimal asset allocation with fixed-term securities ⋮ Pricing and hedging vulnerable option with funding costs and collateral ⋮ Optimal investment and consumption when allowing terminal debt ⋮ American options in an imperfect complete market with default ⋮ European Options in a Nonlinear Incomplete Market Model with Default ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ American options in a non-linear incomplete market model with default ⋮ A convolution method for numerical solution of backward stochastic differential equations ⋮ American options in nonlinear markets ⋮ Portfolio optimization of credit swap under funding costs ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On the pricing of American options
• Martingales and stochastic integrals in the theory of continuous trading
• Convex duality in constrained portfolio optimization
• Hedging contingent claims with constrained portfolios
• Optimization Problems in the Theory of Continuous Trading
• A Stochastic Control Approach to the Pricing of Options

This page was built for publication: Contingent claim valuation in a market with different interest rates