A Risk-Sharing Framework of Bilateral Contracts

DOI10.1137/19M1246365zbMath1447.91176arXiv1901.03874OpenAlexW3017283989MaRDI QIDQ5112729

Junbeom Lee, Stephan Sturm, Chao Zhou

Publication date: 8 June 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.03874

zbMATH Keywords

collateralrisk-sharingbilateral contractspiecewise concave utility

Mathematics Subject Classification ID

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

Related Items (1)

American options in nonlinear markets

Cites Work

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