Pricing and hedging vulnerable option with funding costs and collateral (Q1663930): Difference between revisions

@@ Property / DOI @@
-.1016/j.chaos.2018.04.042
@@ Property / DOI: 10.1016/j.chaos.2018.04.042 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.chaos.2018.04.042
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@@ Property / OpenAlex ID @@
+W2801083120
@@ Property / OpenAlex ID: W2801083120 / rank @@
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@@ Property / cites work @@
+Arbitrage‐free XVA
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@@ Property / cites work @@
+Valuation and Hedging of Contracts with Funding Costs and Collateralization
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+ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
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+Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
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+Nonlinearity Valuation Adjustment
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
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+BSDEs of counterparty risk
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+Backward Stochastic Differential Equations in Finance
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+Analytical pricing of vulnerable options under a generalized jump-diffusion model
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Contingent claim valuation in a market with different interest rates
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+On Cox processes and credit risky securities
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+A closed form solution for vulnerable options with Heston's stochastic volatility
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+CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
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+BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
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+Adapted solution of a backward stochastic differential equation
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+Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
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+A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
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@@ Property / Wikidata QID @@
+Q129866913
@@ Property / Wikidata QID: Q129866913 / rank @@
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@@ Property / DOI @@
+.1016/J.CHAOS.2018.04.042
@@ Property / DOI: 10.1016/J.CHAOS.2018.04.042 / rank @@
+Normal rank