Pricing collateralized derivatives with an arbitrary numeraire

DOI10.1111/MAFI.12227OpenAlexW2988810127WikidataQ126832195 ScholiaQ126832195MaRDI QIDQ5109974

Joanne Kennedy

Publication date: 14 May 2020

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

Full work available at URL: http://wrap.warwick.ac.uk/117261/1/WRAP-pricing-collateralized-derivatives-arbitrary-numeraire-Kennedy-2019.pdf

Mathematics Subject Classification ID

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

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