Pricing and hedging vulnerable option with funding costs and collateral (Q1663930): Difference between revisions
From MaRDI portal
Set profile property. |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 06:32, 6 March 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)
0 references
24 August 2018
0 references
European vulnerable option
0 references
funding spreads
0 references
collateral
0 references
local volatility
0 references
backward stochastic differential equations
0 references
