Pricing and hedging vulnerable option with funding costs and collateral (Q1663930): Difference between revisions
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| Property / DOI: 10.1016/j.chaos.2018.04.042 / rank | |||
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| Property / Wikidata QID: Q129866913 / rank | |||
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| Property / DOI: 10.1016/J.CHAOS.2018.04.042 / rank | |||
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Latest revision as of 01:55, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging vulnerable option with funding costs and collateral |
scientific article |
Statements
Pricing and hedging vulnerable option with funding costs and collateral (English)
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24 August 2018
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European vulnerable option
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funding spreads
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collateral
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local volatility
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backward stochastic differential equations
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