CONIC CVA AND DVA FOR OPTION PORTFOLIOS

DOI10.1142/S0219024920500326zbMath1457.91393OpenAlexW3125871410MaRDI QIDQ5147998

Sjoerd van Bakel, Svetlana Borovkova, Matteo Michielon

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500326

zbMATH Keywords

liquiditybid-ask spreaddistortion functionWang transformCVAfutures optionconic financeblack modelcommodity optionDVA

Mathematics Subject Classification ID

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

Related Items (1)

Pricing American options by a Fourier transform multinomial tree in a conic market

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
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• Applied Conic Finance
• Arbitrage-free smoothing of the implied volatility surface
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• Counterparty Credit Risk, Collateral and Funding

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