Cheapest-to-deliver collateral: a common factor approach

DOI10.1080/14697688.2021.1990375zbMath1496.91092arXiv2103.06107OpenAlexW4206640659MaRDI QIDQ5079362

Lech A. Grzelak, Griselda Deelstra, Felix Wolf

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.06107

zbMATH Keywords

conditional independencefactor modelCSAcollateral choice optioncurrency spreads

Mathematics Subject Classification ID

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

Related Items (1)

SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION

Cites Work

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• The Greatest of a Finite Set of Random Variables

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