Pricing and hedging vulnerable option with funding costs and collateral
type: Item
instance of: scholarly article
title: Pricing and hedging vulnerable option with funding costs and collateral
zbMATH Open document ID: 1395.91446
author: Xingyu Han
published in: Chaos, Solitons and Fractals
publication date: 2018-08-24T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6924716
zbMATH Keywords: European vulnerable option
zbMATH Keywords: funding spreads
zbMATH Keywords: collateral
zbMATH Keywords: local volatility
zbMATH Keywords: backward stochastic differential equations
MaRDI profile type: Publication
full work available at URL: j.chaos.2018.04.042
OpenAlex ID: W2801083120
cites work: Arbitrage‐free XVA
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cites work: BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
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Wikidata QID: Q129866913
DOI: 10.1016/J.CHAOS.2018.04.042
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description: scientific article; zbMATH DE number 6924716